Work

Which one is more informative in determining price movements of hedging assets? Evidence from Bitcoin, gold and crude oil markets

Year: 2019

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2019.121121

Authors: Jingyu Jin, Jiang Yu, Yang Hu, Yue Shang

Institutions: Chongqing Technology and Business University, Southwest Jiaotong University, Yunnan University of Finance And Economics

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Ministry of Education of the People's Republic of China

Awards: 基于混频技术和组合预测的资产复杂相关性密度预测研究：短期冲击、长期影响与机制转换, G2889596504, 金融危机下原油价格冲击与金融市场波动及其联动复杂性–基于多分形机制转换波动率模型和藤copula方法的研究, G3620055712, G5670710205, G5795155055

OpenAlex ID: W2942792437

FWCI: 17.18

Cites: 60

Cited by: 99

Related to: 10