Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies
This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises...
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| Other Authors: | , , |
| Format: | article |
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2023
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| Online Access: | http://dx.doi.org/10.1016/j.ememar.2022.100966 https://www.sciencedirect.com/science/article/pii/S1566014122000838 http://hdl.handle.net/10576/47351 |
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