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Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures

Author

Listed:
  • Amine Lahiani

    (LEO - Laboratoire d'Économie d'Orleans - UO - Université d'Orléans - UT - Université de Tours)

  • Ahmed Jeribi
  • Nabila Boukef Jlassi

Abstract

No abstract is available for this item.

Suggested Citation

  • Amine Lahiani & Ahmed Jeribi & Nabila Boukef Jlassi, 2021. "Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures," Post-Print hal-03573206, HAL.
    • Handle: RePEc:hal:journl:hal-03573206
    DOI: 10.1016/j.ribaf.2020.101351
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    Citations

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    Cited by:

    1. Singh, Sanjeet & Bansal, Pooja & Bhardwaj, Nav, 2022. "Correlation between geopolitical risk, economic policy uncertainty, and Bitcoin using partial and multiple wavelet coherence in P5 + 1 nations," Research in International Business and Finance, Elsevier, vol. 63(C).
    2. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    3. Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
    4. Khalfaoui, Rabeh & Hammoudeh, Shawkat & Rehman, Mohd Ziaur, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Emerging Markets Review, Elsevier, vol. 54(C).
    5. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    6. Mei-jun, Ling & Guang-xi, Cao, 2024. "Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    7. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    8. Gao, Ting & Wang, Huaiming & Du, Dongying, 2024. "The interdependence structure of cryptocurrencies and Chinese financial assets," Finance Research Letters, Elsevier, vol. 62(PA).
    9. Nagl, Maximilian, 2024. "Intricacy of cryptocurrency returns," Economics Letters, Elsevier, vol. 239(C).
    10. Li, Zijian & Meng, Qiaoyu, 2022. "Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    11. Grobys, Klaus & Huynh, Toan Luu Duc, 2022. "When Tether says “JUMP!” Bitcoin asks “How low?”," Finance Research Letters, Elsevier, vol. 47(PA).
    12. Almeida, José & Gaio, Cristina & Gonçalves, Tiago Cruz, 2024. "Crypto market relationships with bric countries' uncertainty – A wavelet-based approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

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