Despite its importance, there has been little research on the relationship between Bitcoin's risk and returns. Therefore, it is necessary to investigate the risk-return trade-off of Bitcoin. In the existing limited literature, a negative risk-return relationship in Bitcoin for high-frequency...

This paper investigates the role of various financial assets as diversifiers, hedges, and safe havens using the dynamic conditional correlation-GARCH and quantile regression models, for the period from August, 10 2015 to June, 5 2024 for the case of G7, BRIC, and GCC countries. Results show that...

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...