Autor segons l'article: Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A
Departament: Gestió d'Empreses
Autor/s de la URV: Fernández Bariviera, Aurelio
Paraules clau: Volatility Spillovers Safe haven Risk Prices Non fungible token Model Hedge ratio Hedge Distributions Defi Bitcoin Archimax copula
Resum: This paper investigates the connectedness among eighteen cryptocurrency assets including NFT, DeFi, gold -backed cryptocurrencies, and traditional cryptocurrencies. We also compute the Optimal hedge ratio for each pair of (gold -backed) cryptocurrency-NFT/DeFi and assess their hedge effectiveness. To this end, we use a combination of econometric methods. Our sample period goes from 01/11/2021 to 21/02/2023, making the empirical analysis insightful and interesting as it includes the Covid-19 health crisis and the Russia-Ukraine war. Our empirical findings highlight the dissimilarities between different cryptocurrencies in terms of connectedness with NFT/DeFi assets. They also reflect the diversification benefits generated by the inclusion of gold -backed cryptocurrencies into NFT/DeFi portfolios, in particular in times of unprecedented events. These findings could be useful for crypto-investors who search to diversify their portfolios.
Àrees temàtiques: Finance Economics and econometrics Economics Economia Ciencias sociales Business, finance Administração pública e de empresas, ciências contábeis e turismo
Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat
Identificador de l'autor: 0000-0003-1014-1010
Data d'alta del registre: 2024-08-03
Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
Enllaç font original: https://www.sciencedirect.com/science/article/pii/S1062940824000032?via%3Dihub
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: North American Journal Of Economics And Finance. 70 102079-
Referència de l'ítem segons les normes APA: Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A (2024). Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach. North American Journal Of Economics And Finance, 70(), 102079-. DOI: 10.1016/j.najef.2024.102079
DOI de l'article: 10.1016/j.najef.2024.102079
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2024
Tipus de publicació: Journal Publications
Repositori URV