Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective

DOI10.1007/S10203-020-00314-7zbMath1480.91333OpenAlexW3120394012MaRDI QIDQ2064603

Azza Bejaoui, Salim Ben Sassi, Jihed Majdoub

Publication date: 6 January 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00314-7

zbMATH Keywords

hedgingrisk managementportfolio strategiesbitcoinfiat currencyGARCH-type modelsdynamic perspective

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cites Work

• Asymmetric volatility in cryptocurrencies
• Volatility and return jumps in Bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models

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