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Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets
European Univ Inst, Italy.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Natl Coll Ireland, Ireland.
Univ Southampton, England.
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2021 (English)In: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974, Vol. 58, no 4, p. 1289-1299Article in journal (Refereed) Published
Abstract [en]

This paper is the first tofullycharacterize the relationship among cross-market Bitcoin prices to provide a complete picture ofdirectional predictabilityof Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.

Place, publisher, year, edition, pages
SPRINGER , 2021. Vol. 58, no 4, p. 1289-1299
Keywords [en]
Cross-quantilogram; Cross-market Bitcoin prices; Time-varying stability
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-171025DOI: 10.1007/s10614-020-10058-6ISI: 000578342000001OAI: oai:DiVA.org:liu-171025DiVA, id: diva2:1485231
Available from: 2020-11-01 Created: 2020-11-01 Last updated: 2022-10-11

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