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Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions

Bouri, Elie, Gupta, Rangan, Tiwari, Aviral Kumar, Roubaud, David·2017·Finance Research Letters
DOI 10.1016/j.frl.2017.02.009
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Research works printed but not linked: 23

  1. Baur, D.G., Lee, A.D. and Hong, K. (2015). Bitcoin: currency or investment? Available at SSRN: 2561183. · doi:10.2139/ssrn.2561183
  2. Bouri, E., Azzi, G. and Haubo Dyhrberg, A. (2016). On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (No. 2016-41). Economics Discussion Papers. · DOI
  3. Bouri, 2017, On the hedge and safe haven properties of Bitcoin: is it really more than a diversifier?, Finance Res. Lett., 20, 192, 10.1016/j.frl.2016.09.025 · DOI · Paper page
  4. Chuliá, 2016, Impact of US uncertainties on emerging and mature markets: evidence from a quantile-vector autoregressive approach, J. Int. Financ. Markets Inst. Money
  5. Ciaian, 2016, The economics of BitCoin price formation, Appl. Econ., 48, 1799, 10.1080/00036846.2015.1109038 · DOI · Paper page
  6. Cornish, 2006, Maximal overlap wavelet statistical analysis with application to atmospheric turbulence, Boundary-Layer Meteorol., 119, 339, 10.1007/s10546-005-9011-y · DOI
  7. Dyhrberg, 2016, Hedging capabilities of Bitcoin. Is it the virtual gold?, Finance Res. Lett., 16, 139, 10.1016/j.frl.2015.10.025 · DOI · Paper page
  8. Dyhrberg, 2016, Bitcoin, gold and the dollar – a GARCH volatility analysis, Finance Res. Lett., 16, 85, 10.1016/j.frl.2015.10.008 · DOI · Paper page
  9. Fry, 2016, Negative bubbles and shocks in cryptocurrency markets, Int. Rev. Financ. Anal., 47, 343, 10.1016/j.irfa.2016.02.008 · DOI · Paper page
  10. Garcia, 2014, The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy, J. R. Soc. Interface, 11, 1, 10.1098/rsif.2014.0623 · DOI · Paper page
  11. Glaser, 2014, Bitcoin-asset or currency? Revealing users' hidden intentions, Revealing Users' Hidden Intentions
  12. Hayes, 2016, Cryptocurrency value formation: an empirical study leading to a cost of production model for valuing bitcoin, Telemat. Inf. In Press.
  13. Jubinski, 2012, Equity volatility, bond yields, and yield spreads, J. Futures Markets, 32, 480, 10.1002/fut.20521 · doi:10.1002/fut.20521
  14. Koenker, 1978, Regression quantiles, Econometrica, 46, 33, 10.2307/1913643 · DOI · Paper page
  15. Kristoufek, 2013, Bitcoin meets Google trends and wikipedia: quantifying the relationship between phenomena of the Internet era, Sci. Rep., 3, 3415, 10.1038/srep03415 · DOI · Paper page
  16. Ma, 2006, Quantile regression methods for recursive structural equation models, J. Econ., 134, 471, 10.1016/j.jeconom.2005.07.003 · DOI · Paper page
  17. Percival, 1995, On estimation of the wavelet variance, Biometrika, 82, 619, 10.1093/biomet/82.3.619 · DOI · Paper page
  18. Percival, 1997, Analysis of subtidal coastal sea level fluctuations using wavelets, J. Am. Statis. Assoc., 92, 868, 10.1080/01621459.1997.10474042 · DOI · Paper page
  19. Ramsey, 1999, The contribution of wavelets to the analysis of economic and financial data, Philosoph. Trans. R. Soc. London, 357, 2593, 10.1098/rsta.1999.0450 · DOI
  20. Ramsey, 2002, Wavelets in economics and finance: past and future, Studies Nonlinear Dynam. Econ., 6, 1
  21. Sarwar, 2016, Examining the flight-to-safety with the implied volatilities, Finance Res. Lett.
  22. Sim, 2015, Oil prices, US stock return, and the dependence between their quantiles, J. Banking Finance, 55, 1, 10.1016/j.jbankfin.2015.01.013 · DOI · Paper page
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Metadata

Authors
Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D.
Venue
Finance Research Letters
Publisher
Elsevier BV
Published
2017-11
Volume
23
Pages
87-95
ISSN
1544-6123 (ISSN-L)
DOI
10.1016/j.frl.2017.02.009
OpenAlex
W2740288336
Cited by
815
References
0
FWCI
112.31
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. https://app.cochat.ai/papers/10.1016/j.frl.2017.02.009
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Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017). Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters. https://doi.org/10.1016/j.frl.2017.02.009

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.