Research Article
Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis
Table 10
Diks and Panchenko nonparametric causality between gold and six cryptocurrencies.
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Note. The arrow “” denotes the causality null hypothesis that cryptocurrency does not cause gold; embedding dimension = 2, and bandwidth = 0.5000 [44]. ∗∗∗, ∗∗, and ∗ indicate statistical significance levels of 1%, 5%, and 10%, respectively. The most dominant decomposed frequency is M1 (short-term). Bitcoin, Litecoin, Dogecoin, Tether, and Ethereum cause gold in the short-term. We notice no causality between gold and the cryptocurrencies in the medium-term. |