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

被引：301

作者：

Baur, Dirk G. ^{[1
]}

Dimpfl, Thomas ^{[2
]}

Kuck, Konstantin ^{[3
]}

机构：

[1] Univ Western Australia, Nedlands, WA, Australia

[2] Univ Tubingen, Tubingen, Germany

[3] Univ Hohenheim, Stuttgart, Germany

来源：

FINANCE RESEARCH LETTERS | 2018年 / 25卷

关键词：

Replication study; Bitcoin; Cryptocurrencies; VOLATILITY; ECONOMICS;

D O I：

10.1016/j.frl.2017.10.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：103 / 110

页数：8

共 15 条

[1]

Bell Claes., 2013, TECHNICAL REPORT

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