Inter-markets volatility spillover in U.S. bitcoin and financial markets

Inter-markets volatility spillover in U.S. bitcoin and financial markets

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequenc...

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Bibliographic Details
Main Authors: Muhammad Owais Qarni, Saqib Gulzar, Syeda Tamkeen Fatima, Majid Jamal Khan, Khurram Shafi
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2019-05-01
Series:Journal of Business Economics and Management
Subjects:
bitcoin
stock market
volatility spillover
spillover asymmetry measure
frequency connectedness
foreign exchange market
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/8316

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