Modelling the dependence structure between bitcoin and major currencies using copula dynamic during extreme period
This article studies the bivariate dependence structure for six pairs of daily returns Bitcoin with Euro (EURO), Pound sterling (GBP), Japan yen (JPY), Canadian dollar (CAD), Australian dollar (AUD) and Chinese renminbi (CNY) from 1 January 2017 until 31 December 2019. A time-varying copula approach...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2025
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| Online Access: | http://journalarticle.ukm.my/25774/ http://journalarticle.ukm.my/25774/1/149-165%20-.pdf |