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http://bura.brunel.ac.uk/handle/2438/20856
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DC Field | Value | Language |
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dc.contributor.author | González, MDLO | - |
dc.contributor.author | Jareño, F | - |
dc.contributor.author | Skinner, F | - |
dc.date.accessioned | 2020-05-19T15:13:34Z | - |
dc.date.available | 2020-05-19T15:13:34Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | Mathematics | en_US |
dc.identifier.issn | 2227-7390 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/20856 | - |
dc.description.abstract | This article examines the connectedness between Bitcoin returns and returns of ten additional cryptocurrencies for several frequencies: daily, weekly and monthly, over the period January 2015 – March 2020 using a NARDL (nonlinear autoregressive distributed lag) approach. We find important and positive interdependencies among cryptocurrencies and significant long-run relations among most of them. In addition, non-bitcoin cryptocurrency returns seem to react in the same way to positive and negative changes in Bitcoin returns, obtaining strong evidence of asymmetry in the short-run. Finally, our results show high persistence in the impact of both positive and negative changes in Bitcoin returns on most of the other cryptocurrencies returns. Thus, our model explains about 50% of the other cryptocurrencies returns with changes in Bitcoin returns. | en_US |
dc.description.sponsorship | Spanish Ministerio de Economía, Industria y Competitividad (ECO2017-89715-P). | en_US |
dc.language.iso | en | en_US |
dc.publisher | MDPI | en_US |
dc.subject | Bitcoin | en_US |
dc.subject | Cryptocurrencies | en_US |
dc.subject | NARDL | en_US |
dc.subject | Connectedness | en_US |
dc.title | Nonlinear autoregressive distributed lag approach: an application on the connectedness between Bitcoin returns and the other ten most relevant cryptocurrencies returns | en_US |
dc.type | Article | en_US |
dc.relation.isPartOf | Mathematics | - |
pubs.publication-status | Accepted | - |
Appears in Collections: | Publications |
Files in This Item:
File | Description | Size | Format | |
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FullText.pdf | 1.19 MB | Adobe PDF | View/Open |
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