1,887
Views
1
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

Modelling the dynamics of cryptocurrency prices for risk hedging: The case of Bitcoin, Ethereum, and Litecoin

ORCID Icon, , &
Article: 2196852 | Received 10 Oct 2022, Accepted 25 Mar 2023, Published online: 11 Apr 2023

Figures & data

Figure 1. Monthly Bitcoin market price (in USD), 31/08/2010–31/05/2022source: Quandl.Com.

Figure 1. Monthly Bitcoin market price (in USD), 31/08/2010–31/05/2022source: Quandl.Com.

Figure 2. Monthly Ethereum market price (in USD), 31/03/2016–31/05/2022.

Source: Quandl.com
Figure 2. Monthly Ethereum market price (in USD), 31/03/2016–31/05/2022.

Figure 3. Monthly Litecoin market price (in USD), 30/04/2014–31/05/2022.

Source: Quandl.com
Figure 3. Monthly Litecoin market price (in USD), 30/04/2014–31/05/2022.

Table 1. Data descriptions and sources

Table 2. Results of descriptive statistics

Table 3. Results of ADF Unit Root Test

Table 4. Results of ARDL bound cointegration test

Table 5. Results of the estimated longrun coefficients

Table 6. Results of parsimonious ECM versions of the estimated ARDL models

Table 7. Energy decomposition of BTCP, ETHP, and LTCP

Table 8. Wavelets granger causality between BTCP, ETHP, and LTCP

Figure 4. CUSUM stability test results.

Figure 4. CUSUM stability test results.