We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has...

Green bonds and financial markets underline severe extreme dependence due to uncertain economic and financial circumstances. Time-varying optimal copula (TVOC) is a unique methodology that provides useful copula information under different time series, underscoring several regimes following...

Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to...