From 23a45e488600e530cb0885ba7cfb023f05e4e2b9 Mon Sep 17 00:00:00 2001 From: Kensley Blaise <99891535+KensleyBlaise@users.noreply.github.com> Date: Mon, 17 Jun 2024 13:26:16 +0100 Subject: [PATCH] Update Research.md --- _pages/Research.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/_pages/Research.md b/_pages/Research.md index 53243df..806cf04 100644 --- a/_pages/Research.md +++ b/_pages/Research.md @@ -6,7 +6,7 @@ permalink: /research/ --- **SELECTED WORK IN PROGRESS** - **[1- Volatility on the Crypto-currency Market: A Copula-GARCH Approach (with Peter G. Moffatt and Andrea Calef**)](https://KensleyBlaise.github.io/assets/files/CV%20of%20Kensley%20Blaise.pdf){:target="_blank"}{:style="color: blue;"} + **[1- Volatility on the Crypto-currency Market: A Copula-GARCH Approach (with Peter G. Moffatt and Andrea Calef**)](https://kensleyblaise.github.io/assets/files/crypto_copula.pdf){:target="_blank"}{:style="color: blue;"} **Abstract:** *This research investigates whether crypto-currency returns correlate with expected uncertainty related to the global economy or other risky markets. In a first attempt, we use the copula framework to estimate the dependence magnitude between returns on the crypto-currency market, the interest rate spread, the breakeven inflation and the volatility index from the S&P500 options (VIX). Our results show that uncertainty information about future policy and the state of the economy contained in the interest rate spread bears no importance in crypto-currency price fluctuations. However, we find a pattern, although relatively small, for high estimated crypto-currency returns volatility to overlap with low VIX values. On another level, we find evidence that dynamic time series models can improve our understanding of price fluctuations on the crypto-currency market. We estimate a 5.6 percentage points increase of today's log-returns on the crypto-currency market for each one percentage point increase of yesterday's breakeven inflation. The effect is instantaneous and about 12 percentage points in recent time periods (2020-2022).*