Repositori institucional URV
| Autor/s de la URV: | Fernández Bariviera, Aurelio |
| Autor segons l'article: | Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A |
| Adreça de correu electrònic de l'autor: | aurelio.fernandez@urv.cat |
| Identificador de l'autor: | 0000-0003-1014-1010 |
| Any de publicació de la revista: | 2024 |
| Tipus de publicació: | Journal Publications |
| 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 |
| Referència a l'article segons font original: | North American Journal Of Economics And Finance. 70 102079- |
| 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. |
| DOI de l'article: | 10.1016/j.najef.2024.102079 |
| Enllaç font original: | https://www.sciencedirect.com/science/article/pii/S1062940824000032?via%3Dihub |
| Versió de l'article dipositat: | info:eu-repo/semantics/publishedVersion |
| Accès a la llicència d'ús: | https://creativecommons.org/licenses/by/3.0/es/ |
| Departament: | Gestió d'Empreses |
| URL Document de llicència: | https://repositori.urv.cat/ca/proteccio-de-dades/ |
| Àrees temàtiques: | Finance Economics and econometrics Economics Economia Ciencias sociales Business, finance Administração pública e de empresas, ciências contábeis e turismo |
| Paraules clau: | Volatility Spillovers Safe haven Risk Prices Non fungible token Model Hedge ratio Hedge Distributions Defi Bitcoin Archimax copula |
| Entitat: | Universitat Rovira i Virgili |
| Data d'alta del registre: | 2024-08-03 |
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| Fitxer | Descripció | Format | |
|---|---|---|---|
| DocumentPrincipal | DocumentPrincipal | application/pdf |
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