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

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  • Baur, Dirk G.
  • Dimpfl, Thomas
  • Kuck, Konstantin

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.

Suggested Citation

  • Baur, Dirk G. & Dimpfl, Thomas & Kuck, Konstantin, 2018. "Bitcoin, gold and the US dollar – A replication and extension," Finance Research Letters, Elsevier, vol. 25(C), pages 103-110.
    • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:103-110
    DOI: 10.1016/j.frl.2017.10.012
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    References listed on IDEAS

    as
    1. Dyhrberg, Anne Haubo, 2016. "Bitcoin, gold and the dollar – A GARCH volatility analysis," Finance Research Letters, Elsevier, vol. 16(C), pages 85-92.
    2. Rainer Böhme & Nicolas Christin & Benjamin Edelman & Tyler Moore, 2015. "Bitcoin: Economics, Technology, and Governance," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 213-238, Spring.
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    5. Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
    6. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    7. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
    8. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Replication study; Bitcoin; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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