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.
- Multivariate GARCH
- Norwich Business School - Professor of Sustainable Energy Business
- Vice-Chancellor's Office - Academic Chair Climate@UEA
- Centre for Competition Policy - Member
- Tyndall Centre for Climate Change Research - Member
- Innovation, Technology and Operations Management - Member
Person: Research Group Member, Academic, Teaching & Research