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Asymmetric volatility spillovers between Bitcoin, oil, and global stocks in economic uncertainty

Surachai Chancharat; Parichat Sinlapates - In: International journal of monetary economics and finance … 17 (2024) 2/3, pp. 238-246

Persistent link: https://www.econbiz.de/10015066145

Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict : evidence from the ASEAN+6

Surachai Chancharat; Parichat Sinlapates - In: Finance research letters 57 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014526667

Return and volatility linkages between Bitcoin, gold price, and oil price : evidence from diagonal BEKK-GARCH model

Surachai Chancharat; Julaluk Butda - 2022

Persistent link: https://www.econbiz.de/10013197429

Chapter 4 Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model

Chancharat, Surachai; Butda, Julaluk - In: Environmental, social, and governance perspectives on …, (pp. 69-81). 2021

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or...

Persistent link: https://www.econbiz.de/10015085784