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Is Bitcoin a Hedge? How Extreme Volatility Can Destroy the Hedge Property · Study

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ArticleIs Bitcoin a Hedge? How Extreme Volatility Can Destroy the Hedge Property

Dirk G. Baur2021

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Articlegreen2021

Is Bitcoin a Hedge? How Extreme Volatility Can Destroy the Hedge Property

Dirk G. Baur · Lai Trung Hoang · Md Zakir Hossain

48 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1952PORTFOLIO SELECTION*2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance 2017Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions 2015Virtual currency, tangible return: Portfolio diversification with bitcoin 2018Portfolio diversification with virtual currency: Evidence from bitcoin

Cited by

2023Cryptocurrencies against stock market risk: New insights into hedging effectiveness 2023Does the big boss of coins—Bitcoin—protect a portfolio of new-generation cryptos? Evidence from memecoins, stablecoins, NFTs and DeFi

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Details

Year2021

Typearticle

Published2021-01-01

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2021.102655

openalex_workW4226529925

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