Return, volatility and shock spillovers of Bitcoin with energy and technology companies

Efthymia Symitsi; Konstantinos J. Chalvatzis

doi:10.1016/j.econlet.2018.06.012

Return, volatility and shock spillovers of Bitcoin with energy and technology companies

Efthymia Symitsi, Konstantinos J. Chalvatzis

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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	https://doi.org/10.1016/j.econlet.2018.06.012
Publication status	Published - Sept 2018

Keywords

Bitcoin
Energy
Technology
Spillovers
Multivariate GARCH

Access to Document

10.1016/j.econlet.2018.06.012

Accepted manuscriptAccepted author manuscript, 309 KBLicence: CC BY-NC-ND

Cite this

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title = "Return, volatility and shock spillovers of Bitcoin with energy and technology companies",

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.",

keywords = "Bitcoin, Energy, Technology, Spillovers, Multivariate GARCH",

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AU - Chalvatzis, Konstantinos J.

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N2 - 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.

AB - 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.

KW - Bitcoin

KW - Energy

KW - Technology

KW - Spillovers

KW - Multivariate GARCH

U2 - 10.1016/j.econlet.2018.06.012

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M3 - Article

SN - 0165-1765

VL - 170

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JO - Economics Letters

JF - Economics Letters

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