WEKO3
アイテム
Bitcoin or Gold? Risk Assessment Based on Continuous Wavelet Transform
http://hdl.handle.net/10441/00016340
http://hdl.handle.net/10441/00016340c0978e25-43f6-4b9a-bf67-f85bc1e568e3
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DPE9xu2021mar.pdf (2.0 MB)
|
|
| Item type | テクニカルレポート / Technical Report(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2021-03-18 | |||||||
| タイトル | ||||||||
| タイトル | Bitcoin or Gold? Risk Assessment Based on Continuous Wavelet Transform | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 著者 |
Xu, Lei
× Xu, Lei
|
|||||||
| 著者所属 | ||||||||
| en | ||||||||
| Visiting Researcher, The Institute for Economics and Business Research, Reiwa 2nd year, Graduate School of Economics, Kobe University | ||||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | In this paper, the risk reduction and downside risk reduction of Value at Risk and Expected shortfall are calculated using variance and covariance derived from wavelet analysis. By comparing bitcoin to currency (stock) portfolios and gold to currency (stock) portfolios in time-frequency domain, we find strong evidence that the portfolios containing bitcoin effectively reduce investment risk than the portfolios containing gold after 2019, and especially after 2020. | |||||||
| 言語 | en | |||||||
| 引用 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Discussion Paper, Series E, No. E-9, pp. 1-33 | |||||||
| 言語 | en | |||||||
| 書誌情報 |
en : Discussion Paper, Series E 号 No.E-9, p. 1-33, 発行日 2021-03 |
|||||||
| 出版者 | ||||||||
| 出版者 | The Institute for Economic and Business Research Faculty of Economics,Shiga University | |||||||
| 言語 | en | |||||||
| 資源タイプ | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Technical Report | |||||||
