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Naeem, Muhammad Abubakr; Karim, Sitara
Economics letters, 11/2021, Letnik: 208Journal Article
The high power consumption of Bitcoin transactions has raised environmental and sustainable concerns of green investors and regulatory bodies. We utilize the time-varying optimal copula (TVOC) approach to showcase the dependence structure between bitcoin and green financial assets. We find multiple tail-dependence regimes characterize the extreme dependence between bitcoin and green financial assets, and the dependence structure is mainly asymmetric and time-varying. Finally, the hedging effectiveness of green financial assets for bitcoin revealed that all green assets, especially clean energy, are effective hedges for bitcoin. •We estimated the tail-dependence between bitcoin and green financial assets.•The time-varying optimal copula (TVOC) approach is employed on the dataset.•Tail-dependence regimes portray the extreme dependence between bitcoin and green financial assets.•Dependence structure is mainly asymmetric and time-varying.•Clean energy is valuable hedge for bitcoin.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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in: SICRIS
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