Murty, Sarika; Victor, Vijay; Fekete-Farkas, Maria - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13
the returns of Bitcoin. An asymmetric GARCH model (EGARCH) is used to investigate whether Bitcoin may be useful in risk … also examines Bitcoin as an investment and hedge alternative to gold as well as NSE NIFTY using a multivariate DCC GARCH … model. DCC GARCH models are also used to check whether correlation (co-movement) between the markets is time …