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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/60897
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dc.contributor.authorHuynh Luu Duc Toan-
dc.contributor.otherMuhammad Shahbaz-
dc.contributor.otherMuhammad Ali Nasir-
dc.contributor.otherSubhan Ullah-
dc.date.accessioned2020-12-09T06:55:09Z-
dc.date.available2020-12-09T06:55:09Z-
dc.date.issued2020-
dc.identifier.issn0254-5330-
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85086326596&doi=10.1007%2fs10479-020-03680-y&partnerID=40&md5=5fa2ff4f49fc5906dc4b564b2090a947-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/60897-
dc.description.abstractThis paper empirically investigates whether cryptocurrencies might have a useful role in financial modelling and risk management in the energy markets. To do so, the causal relationship between movements on the energy markets (specifically the price of crude oil) and the value of cryptocurrencies is analysed by drawing on daily data from April 2013 to April 2019. We find that shocks to the US and European crude oil indices are strongly connected to the movements of most cryptocurrencies. Applying a non-parametric statistic, Transferring Entropy (an econophysics technique measuring information flow), we find that some cryptocurrencies (XEM, DOGE, VTC, XLM, USDT, XRP) can be used for hedging and portfolio diversification. Furthermore, the results reveal that the European crude oil index is a source of shocks on the cryptocurrency market while the US oil index appears to be a receiver of shocks.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherSpringer-
dc.relation.ispartofAnnals of Operations Research-
dc.rightsSpringer Science+Business Media, LLC, part of Springer Nature-
dc.subjectCrude oilen
dc.subjectCryptocurrencyen
dc.subjectEnergy marketsen
dc.subjectFinancial instrumentsen
dc.subjectRisk managementen
dc.subjectTransfer entropyen
dc.titleFinancial modelling, risk management of energy instruments and the role of cryptocurrenciesen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1007/s10479-020-03680-y-
ueh.JournalRankingScopus, ISI-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextOnly abstracts-
item.openairetypeJournal Article-
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