[HTML][HTML] Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties
This paper examines return and volatility connectedness between Bitcoin, traditional
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and
major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based
Economic Uncertainty-TEU, and the Volatility Index-VIX) from April 29, 2013, to June 30,
2020. To this end, the Time-Varying Parameter Vector Autoregression (TVP-VAR) model,
dynamic connectedness approaches, and network analyses are used. The results indicate …
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and
major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based
Economic Uncertainty-TEU, and the Volatility Index-VIX) from April 29, 2013, to June 30,
2020. To this end, the Time-Varying Parameter Vector Autoregression (TVP-VAR) model,
dynamic connectedness approaches, and network analyses are used. The results indicate …
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