On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models

On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models

This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Und...

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Bibliographic Details
Main Authors: Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Mathematics
Subjects:
cryptocurrency
gold
S&amp
P 500
GARCH
DCC
Online Access:https://www.mdpi.com/2227-7390/8/11/1859

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