Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD

<div>Downside and upside <i>ΔCoVaRs</i>. Note: Panel A shows the downside and upside Δ<i>CoVaRs</i> of Bitcoin-gold pair. Panel B shows the downside and upside Δ<i>CoVaRs</i> of Bitcoin-USD pair. 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519L129 127C115 48 107 39 26 30L18 0H270C410 0 516 20 609 75C722 140 786 240 786 370ZM683 373C683 178 547 40 323 40C298 40 264 40 241 45C213 51 207 64 220 127L295 545C304 582 309 595 320 601C335 610 367 613 406 613C570 613 683 538 683 373Z"></path></g></svg> are the risk contribution of the upward and downward movement of market 2 to the upward movement of market 1, respectively. (a) Panel A <i>ΔCoVaRs</i> of Bitcoin-gold pair. (b) Panel B Δ<i>CoVaR</i>s of Bitcoin-USD pair. (c) Panel C Δ<i>CoVaR</i>s of gold-USD pair.</div>

Discrete Dynamics in Nature and Society

fig5

Figure 5

Figure 5: Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD 