In the context of the debate on cryptocurrencies as the 'digital gold', this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments.

中文翻译：

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黑色和数字黄金之间的联系：来自美国市场的证据。


在关于加密货币作为“数字黄金”的争论的背景下，本研究通过采用一组丰富的参数和非参数方法来探讨比特币和美国石油回报之间的联系。我们通过 Clayton copula、普通 copula 和 Gumbel copula 来研究美国石油市场和比特币的依赖结构。 Copula 帮助我们通过左尾、右尾或正态分布来测试这些依赖结构的波动性。我们收集了2014年2月5日至2019年1月24日有关比特币价格和石油价格的每日数据。比特币价格数据取自 coinmarketcap.com。美国油价是从美联储经济数据源收集的。对数据集应用了最大伪似然估计，结果表明美国石油回报和比特币极易受到尾部风险的影响。基于乘数引导的拟合优度检验以及肯德尔图也表明了左尾依赖性，这增加了结果的稳健性。部分交叉分位数图的固定引导测试表明左尾的哪个分位数在比特币和美国石油回报之间具有统计显着关系。该研究对于使用加密货币和石油对冲工具进行投资组合多元化具有重要意义。