Author, as appears in the article.: Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: Volatility Spillovers Safe haven Risk Prices Non fungible token Model Hedge ratio Hedge Distributions Defi Bitcoin Archimax copula
Abstract: 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.
Thematic Areas: Finance Economics and econometrics Economics Economia Ciencias sociales Business, finance Administração pública e de empresas, ciências contábeis e turismo
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-08-03
Papper version: info:eu-repo/semantics/publishedVersion
Link to the original source: https://www.sciencedirect.com/science/article/pii/S1062940824000032?via%3Dihub
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: North American Journal Of Economics And Finance. 70 102079-
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
Article's DOI: 10.1016/j.najef.2024.102079
Entity: Universitat Rovira i Virgili
Journal publication year: 2024
Publication Type: Journal Publications
Repositori URV