Exploring the Dynamic links between ICE BofA Yield Curves and First Bitcoin Capital Corp. Volatility using DECO-GARCH

Saudi Journal of Economics and Finance

9 Pages Posted: 12 May 2021

Date Written: 2020

Abstract

This paper examines the time-varying conditional correlations between FIRST BITCOIN CAP and ICE BofA Sterling Zero Coupon markets. We apply ten bivariate DECO-GARCH models in order to capture potential contagion effects between the markets for the period 2007-2020. Empirical results reveal contagion during the under investigation period regarding the ten bivariate models, showing potential volatility transmission channels among the markets. Findings have crucial implications for policymakers who provide regulations for the above derivative markets and for investors, who invest long-term into FIRST BITCOIN CAP.

Keywords: DECO-GARCH, Bitcoin market, financial contagion, equicorrelations, zero coupon market

JEL Classification: C58, C61, G11, G15

Suggested Citation

Tsiaras, Konstantinos, Exploring the Dynamic links between ICE BofA Yield Curves and First Bitcoin Capital Corp. Volatility using DECO-GARCH (2020). Saudi Journal of Economics and Finance, Available at SSRN: https://ssrn.com/abstract=3843929

Konstantinos Tsiaras (Contact Author)

Department of Economics ( email )

45110 Ioannina
Greece

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
24
Abstract Views
160
PlumX Metrics