@techreport{oai:shiga-u.repo.nii.ac.jp:00013855,
 author = {Xu, Lei},
 issue = {No.E-9},
 month = {Mar},
 note = {Technical Report, 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., Discussion Paper, Series E, No. E-9, pp. 1-33},
 title = {Bitcoin or Gold? Risk Assessment Based on Continuous Wavelet Transform},
 year = {2021}
}