{"id":"https://openalex.org/W4293345307","doi":"https://doi.org/10.1155/2022/8901180","title":"Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH\u2010EVT\u2010Copula Approach","display_name":"Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH\u2010EVT\u2010Copula Approach","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4293345307","doi":"https://doi.org/10.1155/2022/8901180"},"language":"en","primary_location":{"id":"doi:10.1155/2022/8901180","doi":"https://doi.org/10.1155/2022/8901180","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2022/8901180","pdf_url":"https://downloads.hindawi.com/journals/ddns/2022/8901180.pdf","source":{"id":"https://openalex.org/S130298280","display_name":"Discrete Dynamics in Nature and Society","issn_l":"1026-0226","issn":["1026-0226","1607-887X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","dongbi-d","jufo-1","ki-jl-1","norway-1","poland-40","russia-white-list-2"],"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Discrete Dynamics in Nature and Society","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://downloads.hindawi.com/journals/ddns/2022/8901180.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100668704","display_name":"Feng Jin","orcid":"https://orcid.org/0000-0003-2741-9955","observed_orcids":["https://orcid.org/0000-0003-2741-9955"]},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Feng Jin","raw_affiliation_strings":["School of International Trade and Economics, University of International Business and Economics, Beijing 100029, China uibe.edu.cn","School of International Trade and Economics, University of International Business and Economics, Beijing 100029"],"raw_orcid":"https://orcid.org/0000-0003-2741-9955","affiliations":[{"raw_affiliation_string":"School of International Trade and Economics, University of International Business and Economics, Beijing 100029, China uibe.edu.cn","institution_ids":["https://openalex.org/I146563203"]},{"raw_affiliation_string":"School of International Trade and Economics, University of International Business and Economics, Beijing 100029","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035836131","display_name":"Jingwei Li","orcid":"https://orcid.org/0000-0002-1117-3025","observed_orcids":["https://orcid.org/0000-0002-1117-3025"]},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jingwei Li","raw_affiliation_strings":["School of Insurance and Economics, University of International Business and Economics, Beijing 100029, China uibe.edu.cn","School of Insurance and Economics, University of International Business and Economics, Beijing 100029"],"raw_orcid":"https://orcid.org/0000-0002-1117-3025","affiliations":[{"raw_affiliation_string":"School of Insurance and Economics, University of International Business and Economics, Beijing 100029, China uibe.edu.cn","institution_ids":["https://openalex.org/I146563203"]},{"raw_affiliation_string":"School of Insurance and Economics, University of International Business and Economics, Beijing 100029","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002135848","display_name":"Guangchen Li","orcid":"https://orcid.org/0000-0002-6193-1680","observed_orcids":["https://orcid.org/0000-0002-6193-1680"]},"institutions":[{"id":"https://openalex.org/I176432857","display_name":"Beijing Wuzi University","ror":"https://ror.org/00bd1d647","country_code":"CN","type":"education","lineage":["https://openalex.org/I176432857"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Guangchen Li","raw_affiliation_strings":["School of Economics, Beijing Wuzi University, Beijing 101149, China bwu.edu.cn","School of Economics, Beijing Wuzi University, Beijing 101149"],"raw_orcid":"https://orcid.org/0000-0002-6193-1680","affiliations":[{"raw_affiliation_string":"School of Economics, Beijing Wuzi University, Beijing 101149, China bwu.edu.cn","institution_ids":["https://openalex.org/I176432857"]},{"raw_affiliation_string":"School of Economics, Beijing Wuzi University, Beijing 101149","institution_ids":["https://openalex.org/I176432857"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100668704"],"corresponding_institution_ids":["https://openalex.org/I146563203"],"apc_list":{"value":2570,"currency":"USD","value_usd":2570},"apc_paid":{"value":2570,"currency":"USD","value_usd":2570},"fwci":3.2963,"has_fulltext":true,"cited_by_count":19,"citation_normalized_percentile":{"value":0.92960093,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"2022","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7432000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7432000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.25119999051094055,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.0015999999595806003,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bitcoin","display_name":"Bitcoin","score":0.7549999952316284},{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.8989999890327454},{"id":"https://openalex.org/keywords/us-dollar","display_name":"US dollar","score":0.9639999866485596},{"id":"https://openalex.org/keywords/crude-oil","display_name":"crude oil","score":0.9779999852180481},{"id":"https://openalex.org/keywords/stock-market","display_name":"stock market","score":0.9190000295639038},{"id":"https://openalex.org/keywords/market-linkages","display_name":"market linkages","score":0.8820000290870667},{"id":"https://openalex.org/keywords/risk-diversification","display_name":"risk diversification","score":0.8840000033378601},{"id":"https://openalex.org/keywords/safe-assets","display_name":"safe assets","score":0.6549999713897705},{"id":"https://openalex.org/keywords/covid-19-impact","display_name":"COVID-19 impact","score":0.7129999995231628},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8560000061988831},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":1.0},{"id":"https://openalex.org/keywords/portfolio-construction","display_name":"portfolio construction","score":0.6930000185966492}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.7559195160865784},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7192580699920654},{"id":"https://openalex.org/C2987168347","wikidata":"https://www.wikidata.org/wiki/Q22656","display_name":"Crude oil","level":2,"score":0.6738013029098511},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5675553679466248},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5541073679924011},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.5092200040817261},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.48794859647750854},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.48294395208358765},{"id":"https://openalex.org/C3019931467","wikidata":"https://www.wikidata.org/wiki/Q4917","display_name":"Us dollar","level":3,"score":0.46422550082206726},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4132884442806244},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.41212067008018494},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.25458696484565735},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.247052401304245},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15442034602165222},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.13342270255088806},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12906602025032043},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11924317479133606},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.11011481285095215},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.08704584836959839},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.07555538415908813},{"id":"https://openalex.org/C78762247","wikidata":"https://www.wikidata.org/wiki/Q1273174","display_name":"Petroleum engineering","level":1,"score":0.0622137188911438},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1155/2022/8901180","doi":"https://doi.org/10.1155/2022/8901180","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2022/8901180","pdf_url":"https://downloads.hindawi.com/journals/ddns/2022/8901180.pdf","source":{"id":"https://openalex.org/S130298280","display_name":"Discrete Dynamics in Nature and Society","issn_l":"1026-0226","issn":["1026-0226","1607-887X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","dongbi-d","jufo-1","ki-jl-1","norway-1","poland-40","russia-white-list-2"],"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Discrete Dynamics in Nature and Society","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:hin:jnddns:8901180","doi":null,"is_oa":false,"landing_page_url":"http://downloads.hindawi.com/journals/ddns/2022/8901180.xml","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:32574a81d16148e8b79e12b03dbaae01","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/32574a81d16148e8b79e12b03dbaae01","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Discrete Dynamics in Nature and Society, Vol 2022 (2022)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1155/2022/8901180","doi":"https://doi.org/10.1155/2022/8901180","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2022/8901180","pdf_url":"https://downloads.hindawi.com/journals/ddns/2022/8901180.pdf","source":{"id":"https://openalex.org/S130298280","display_name":"Discrete Dynamics in Nature and Society","issn_l":"1026-0226","issn":["1026-0226","1607-887X"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","dongbi-d","jufo-1","ki-jl-1","norway-1","poland-40","russia-white-list-2"],"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Discrete Dynamics in Nature and Society","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4293345307.pdf","grobid_xml":"https://content.openalex.org/works/W4293345307.grobid-xml"},"referenced_works_count":41,"referenced_works":["https://openalex.org/W1507259579","https://openalex.org/W1594603170","https://openalex.org/W1992105816","https://openalex.org/W1994403842","https://openalex.org/W2019199024","https://openalex.org/W2042442456","https://openalex.org/W2100406142","https://openalex.org/W2132527237","https://openalex.org/W2135177937","https://openalex.org/W2145501956","https://openalex.org/W2526568049","https://openalex.org/W2626390318","https://openalex.org/W2754836513","https://openalex.org/W2771030840","https://openalex.org/W2771954139","https://openalex.org/W2785114503","https://openalex.org/W2791501975","https://openalex.org/W2886832133","https://openalex.org/W2901364189","https://openalex.org/W2941381112","https://openalex.org/W2963875464","https://openalex.org/W2968200408","https://openalex.org/W3022908605","https://openalex.org/W3024565695","https://openalex.org/W3025805607","https://openalex.org/W3037262422","https://openalex.org/W3096599943","https://openalex.org/W3105998315","https://openalex.org/W3113803328","https://openalex.org/W3123979795","https://openalex.org/W3124407081","https://openalex.org/W3139506787","https://openalex.org/W3169397401","https://openalex.org/W3178582090","https://openalex.org/W3202088616","https://openalex.org/W3203633939","https://openalex.org/W4200452861","https://openalex.org/W4230343646","https://openalex.org/W4237451864","https://openalex.org/W4246265676","https://openalex.org/W4399453311"],"related_works":["https://openalex.org/W4390863638","https://openalex.org/W4382681154","https://openalex.org/W7134824338","https://openalex.org/W7084154162","https://openalex.org/W7066694378","https://openalex.org/W4387540302","https://openalex.org/W2929682054","https://openalex.org/W4311879229","https://openalex.org/W3081358912","https://openalex.org/W4229060543"],"abstract_inverted_index":{"This":[0],"paper":[1],"aims":[2],"to":[3,14,87,142],"analyze":[4],"and":[5,12,25,39,80,105,108,124,137,163,172],"compare":[6],"the":[7,16,31,43,50,55,65,75,81,85,97,119,144,147,165,176],"ability":[8,86],"of":[9,18,67,77,128,146],"bitcoin,":[10,34,107],"gold,":[11,35,106],"dollar":[13,82,109],"diversify":[15,88],"risk":[17,122,148,160,173],"traditional":[19],"market":[20,52],"such":[21],"as":[22,69,114],"crude":[23,37],"oil":[24],"stock":[26,40],"markets.":[27],"Specifically,":[28],"we":[29],"model":[30,156],"linkages":[32],"between":[33],"dollar,":[36],"oil,":[38],"markets":[41,136],"using":[42],"GARCH\u2010EVT\u2010copula":[44],"approach.":[45],"The":[46,150],"results":[47,152],"show":[48,153],"that":[49,154],"gold":[51,68,100],"is":[53,62],"in":[54],"central":[56],"position":[57,104],"among":[58],"these":[59,134],"markets,":[60],"which":[61,168],"consistent":[63],"with":[64],"status":[66],"a":[70,115],"major":[71],"safe":[72],"asset.":[73],"Before":[74],"outbreak":[76],"COVID\u201019,":[78],"bitcoin":[79],"also":[83],"had":[84],"risks,":[89],"although":[90],"less":[91],"effective":[92],"than":[93],"gold.":[94],"However,":[95],"during":[96],"COVID\u201019":[98,166],"period,":[99,167],"loses":[101],"its":[102],"dominant":[103],"can":[110,157],"no":[111],"longer":[112],"act":[113],"hedge.":[116],"We":[117],"measure":[118],"value":[120],"at":[121],"(VaR)":[123],"expected":[125],"shortfall":[126],"(ES)":[127],"simulated":[129],"portfolios":[130],"constructed":[131],"based":[132],"on":[133],"five":[135],"use":[138],"several":[139],"backtesting":[140,151],"methods":[141],"check":[143],"validity":[145],"measures.":[149],"our":[155],"provide":[158],"accurate":[159],"measures":[161],"before":[162],"within":[164],"may":[169],"help":[170],"investors":[171],"managers":[174],"construct":[175],"optimal":[177],"portfolios.":[178]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2022-08-27T00:00:00"}
