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

Efthymia Symitsi, Konstantinos J. Chalvatzis

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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 languageEnglish
Pages (from-to)127-130
Number of pages4
JournalEconomics Letters
Early online date19 Jun 2018
Publication statusPublished - Sep 2018


  • Bitcoin
  • Energy
  • Technology
  • Spillovers
  • Multivariate GARCH

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