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      High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

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      Author
      Mensi, W.
      Şensoy, Ahmet
      Aslan, Aylin
      Kang, S. H.
      Date
      2019
      Source Title
      North American Journal of Economics and Finance
      Print ISSN
      1062-9408
      Publisher
      Elsevier
      Volume
      50
      Pages
      101031
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      This study examines the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum). We use high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Baruník, Kočcenda, and Vácha (2017). The results show evidence of significant volatility spillover effects between Bitcoin and precious metals. Moreover, the risk spillovers vary over time and are sensitive to slowdowns in economic activity and political events (e.g., the Brexit vote and the US presidential election). Palladium is the largest net contributor of spillovers while Bitcoin is a net recipient. Finally, evidence of asymmetry in semi-volatility transmission shows that Bitcoin heavily transmits net-positive spillovers to other assets. The results of our research are of interest and importance to investors, portfolio managers, and policy-makers, as the results can readily inform their decision-making.
      Keywords
      Bitcoin
      Precious metals
      High frequency
      Asymmetric volatility connectedness
      Permalink
      http://hdl.handle.net/11693/53170
      Published Version (Please cite this version)
      https://doi.org/10.1016/j.najef.2019.101031
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