Abstract
We employ an asymmetric multivariate VAR-GARCH model to study spillover effects between Bitcoin and energy and technology companies. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlations.
| Original language | English |
|---|---|
| Pages (from-to) | 127-130 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 170 |
| Early online date | 19 Jun 2018 |
| DOIs | |
| Publication status | Published - Sep 2018 |
Keywords
- Bitcoin
- Energy
- Technology
- Spillovers
- Multivariate GARCH
Profiles
-
Konstantinos Chalvatzis
- Norwich Business School - Professor of Sustainable Energy Business
- Vice-Chancellor's Office - Academic Chair ClimateUEA
- Centre for Competition Policy - Member
- Tyndall Centre for Climate Change Research - Member
- Innovation, Technology and Operations Management - Member
- ClimateUEA - Academic Chair
- CreativeUEA - Steering Committee Member
Person: Research Group Member, Research Centre Member, Academic, Teaching & Research