Bitcoin, gold and the US dollar – A replication and extension

Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck

Finance Research Letters, 2018, vol. 25, issue C, 103-110

Abstract: Dyhrberg [2016. Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Research Letters 16, 85–92] analyzes the relationship between Bitcoin, gold and the US dollar and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin exhibits distinctively different return, volatility and correlation characteristics compared to other assets including gold and the US dollar.

Keywords: Replication study; Bitcoin; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: E42 F31 G1 G2 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (177)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:103-110

DOI: 10.1016/j.frl.2017.10.012

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