Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets
| Autor: | Gazi Salah Uddin, Stelios Bekiros, Axel Hedström, Tapas Mishra, Evgeniia Jayasekera |
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| Rok vydání: | 2020 |
| Předmět: |
050208 finance
Exploit Social connectedness 05 social sciences Economics Econometrics and Finance (miscellaneous) Tail dependence Cross-market Bitcoin prices Cross-quantilogram Time-varying stability Correlation and dependence Investment (macroeconomics) Computer Science Applications 0502 economics and business Economics Econometrics 050207 economics Predictability Empirical evidence Quantile |
| Zdroj: | Computational Economics. 58:1289-1299 |
| ISSN: | 1572-9974 0927-7099 |
| DOI: | 10.1007/s10614-020-10058-6 |
| Popis: | First published online: October 2020 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. |
| Databáze: | OpenAIRE |
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