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Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets

Bekiros, Stelios D., Hedström, Axel, Jayasekera, Evgeniia, Mishra, Tapas and Uddin, Gazi Salah (2020) Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets. Computational Economics. ISSN 0927-7099 (In Press)

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Official URL: https://10.1007/s10614-020-10058-6

Abstract

This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of 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.

Item Type: Article
Subjects: Q Science > QA Mathematics > Computer software
T Technology > T Technology (General) > Information Technology > Computer software

H Social Sciences > HG Finance > Investment
Divisions: School of Computing > Staff Research and Publications
Depositing User: Dan English
Date Deposited: 09 Nov 2020 15:59
Last Modified: 09 Nov 2020 15:59
URI: http://norma.ncirl.ie/id/eprint/4353

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