Lamia Jamel

Return, Volatility and Shock Spillovers of Bitcoin with Energy Commodities

2020 · International Journal of Finance Insurance and Risk Management

Purpose: The purpose of this paper is to examine empirically the spillover impacts between Bitcoin and the major energy commodities. Design/methodology/approach: To do so, we employ an asymmetric multivariate VAR-BEKK-AGARCH model to study spillover effects …