Izvorni znanstveni članak
https://doi.org/10.22598/zefzg.2025.2.15
A realized covariance approach in reexamining crypto and fx currencies as safe havens and hedges
Maria Čuljak
; Faculty of Economics and Business, University of Rijeka, Rijeka, Croatia, Deutsche Bank, Frankfurt am Main, Germany
*
Josip Arnerić
orcid.org/0000-0002-2901-2609
; Faculty of Economics and Business, University in Zagreb, Zagreb, Croatia
Saša Žiković
; IDA Institute of Digital Assets, Bucharest University of Economic Studies – ASE, Romania
Salah Uddin Gazi
; Linköping University, Linköping, Sweden
* Dopisni autor.
Sažetak
This research paper deals with the field of financial econometrics. Two financial market phenomena are investigated: covolatility and safe haven assets using time series analysis and high-frequency data on financial assets. The main objective is re-examining the safe haven and hedge properties of two currency classes, distinguished by the regulation and centralization level. While the role of a long-term hedge and safe haven during crisis periods, such as COVID, has been explored in the literature for various assets, this paper fills a significant gap by utilizing intraday transaction data and addresses numerous issues related to integrated covariance estimation. By sampling the data so frequently we get more complete information on price movement and trading activity. The two-phase analysis led to the achievement of the goal - the answer to the main hypothesis: The robust two times scaled estimator is superior to other considered covolatility estimators. This hypothesis leads to the identification of a safe haven currency in comparison with the general market movements. We determine the best covolatility estimator and identify Swiss Franc as the best performing safe haven currency compared to general market movements and confirm that Bitcoin has the characteristics of safe haven currency.
Ključne riječi
safe haven; FX, cryptocurrency; high-frequency observations; realized covariance
Hrčak ID:
342077
URI
Datum izdavanja:
22.12.2025.
Posjeta: 664 *