Modelling the dependence structure between bitcoin and major currencies using copula dynamic during extreme period

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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...

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Bibliographic Details
Main Authors:	Goh, Pei Shan, Nur Firyal Roslan, Saiful Izzuan Hussain
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2025
Online Access:	http://journalarticle.ukm.my/25774/ http://journalarticle.ukm.my/25774/1/149-165%20-.pdf

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