Repositori institucional URV
| URV's Author/s: | Fernández Bariviera, Aurelio |
| Author, as appears in the article.: | Fakhfekh, M; Bejaoui, A; Bariviera, AF; Jeribi, A |
| Author's mail: | aurelio.fernandez@urv.cat |
| Author identifier: | 0000-0003-1014-1010 |
| Journal publication year: | 2024 |
| Publication Type: | Journal Publications |
| 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 |
| Papper original source: | North American Journal Of Economics And Finance. 70 102079- |
| 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. |
| Article's DOI: | 10.1016/j.najef.2024.102079 |
| Link to the original source: | https://www.sciencedirect.com/science/article/pii/S1062940824000032?via%3Dihub |
| Papper version: | info:eu-repo/semantics/publishedVersion |
| licence for use: | https://creativecommons.org/licenses/by/3.0/es/ |
| Department: | Gestió d'Empreses |
| Licence document URL: | https://repositori.urv.cat/ca/proteccio-de-dades/ |
| Thematic Areas: | Finance Economics and econometrics Economics Economia Ciencias sociales Business, finance Administração pública e de empresas, ciências contábeis e turismo |
| Keywords: | Volatility Spillovers Safe haven Risk Prices Non fungible token Model Hedge ratio Hedge Distributions Defi Bitcoin Archimax copula |
| Entity: | Universitat Rovira i Virgili |
| Record's date: | 2024-08-03 |
| Search your record at: |   |
| File | Description | Format | |
|---|---|---|---|
| DocumentPrincipal | DocumentPrincipal | application/pdf |
© 2011 Universitat Rovira i Virgili