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

Efthymia Symitsi and Konstantinos J. Chalvatzis

Economics Letters, 2018, vol. 170, issue C, 127-130

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 (search for similar items in EconPapers)
JEL-codes: C22 C3 C5 G1 G11 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (106)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:170:y:2018:i:c:p:127-130

DOI: 10.1016/j.econlet.2018.06.012

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