Correlated at the tail : implications of asymmetric tail-dependence across Bitcoin markets
Computational economics, 2021, Vol. 58, No. 4, pp. 1289–1299
BEKIROS, Stelios D., HEDSTROM, Axel, JAYASEKERA, Evgeniia, MISHRA, Tapas, UDDIN, Gazi Salah, Correlated at the tail : implications of asymmetric tail-dependence across Bitcoin markets, Computational economics, 2021, Vol. 58, No. 4, pp. 1289–1299 - https://hdl.handle.net/1814/70031
Retrieved from Cadmus, EUI Research Repository
This paper is the first tofullycharacterize the relationship among cross-market Bitcoin prices to provide a complete picture ofdirectional predictabilityof Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern : whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.
First published online: October 2020
Cadmus permanent link: https://hdl.handle.net/1814/70031
Full-text via DOI: 10.1007/s10614-020-10058-6
ISSN: 0927-7099; 1572-9974
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