Bitcoin, gold and the US dollar - A replication and extension

Dirk G. Baur; Thomas Dimpfl; Konstantin Kuck

doi:10.1016/j.frl.2017.10.012

Bitcoin, gold and the US dollar - A replication and extension

Dirk G. Baur, Thomas Dimpfl, Konstantin Kuck

Research output: Contribution to journal › Article › peer-review

338 Citations (Scopus)

Abstract

Dyhrberg [2016. Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance Research Letters 16, 85-92] analyzes the relationship between Bitcoin, gold and the US dollar and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin exhibits distinctively different return, volatility and correlation characteristics compared to other assets including gold and the US dollar.

Original language	English
Pages (from-to)	103-110
Number of pages	8
Journal	Finance Research Letters
Volume	25
DOIs	https://doi.org/10.1016/j.frl.2017.10.012
Publication status	Published - Jun 2018

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10.1016/j.frl.2017.10.012

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abstract = "Dyhrberg [2016. Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance Research Letters 16, 85-92] analyzes the relationship between Bitcoin, gold and the US dollar and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin exhibits distinctively different return, volatility and correlation characteristics compared to other assets including gold and the US dollar.",

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AU - Dimpfl, Thomas

AU - Kuck, Konstantin

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AB - Dyhrberg [2016. Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance Research Letters 16, 85-92] analyzes the relationship between Bitcoin, gold and the US dollar and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin exhibits distinctively different return, volatility and correlation characteristics compared to other assets including gold and the US dollar.

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Bitcoin, gold and the US dollar - A replication and extension

Abstract

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