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Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach

  • Datos identificativos

    Identificador: imarina:9366484
    Autores:
    Fakhfekh, MBejaoui, ABariviera, AFJeribi, A
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Fernández Bariviera, Aurelio
    Palabras clave: Volatility Spillovers Safe haven Risk Prices Non fungible token Model Hedge ratio Hedge Distributions Defi Bitcoin Archimax copula
    Resumen: 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.
    Áreas temáticas: Finance Economics and econometrics Economics Economia Ciencias sociales Business, finance Administração pública e de empresas, ciências contábeis e turismo
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: aurelio.fernandez@urv.cat
    Identificador del autor: 0000-0003-1014-1010
    Fecha de alta del registro: 2024-08-03
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://www.sciencedirect.com/science/article/pii/S1062940824000032?via%3Dihub
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: North American Journal Of Economics And Finance. 70 102079-
    Referencia 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 del artículo: 10.1016/j.najef.2024.102079
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2024
    Tipo de publicación: Journal Publications
  • Palabras clave:

    Business, Finance,Economics,Economics and Econometrics,Finance
    Volatility
    Spillovers
    Safe haven
    Risk
    Prices
    Non fungible token
    Model
    Hedge ratio
    Hedge
    Distributions
    Defi
    Bitcoin
    Archimax copula
    Finance
    Economics and econometrics
    Economics
    Economia
    Ciencias sociales
    Business, finance
    Administração pública e de empresas, ciências contábeis e turismo
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