<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2448-6655</journal-id>
<journal-title><![CDATA[Análisis económico]]></journal-title>
<abbrev-journal-title><![CDATA[Anál. econ.]]></abbrev-journal-title>
<issn>2448-6655</issn>
<publisher>
<publisher-name><![CDATA[Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y Humanidades]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2448-66552022000300099</article-id>
<article-id pub-id-type="doi">10.24275/uam/azc/dcsh/ae/2022v37n96/lopez</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Derrame de volatilidad y correlación dinámica entre el precio del Bitcoin, el petróleo, el oro y la volatilidad del mercado de valores]]></article-title>
<article-title xml:lang="en"><![CDATA[Spillover effect and dynamic correlation between Bitcoin prices, oil, gold and stock market volatility]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[López Villa]]></surname>
<given-names><![CDATA[Jorge Alberto]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Mota Aragón]]></surname>
<given-names><![CDATA[Martha Beatriz]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana  ]]></institution>
<addr-line><![CDATA[Iztapalapa ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2022</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2022</year>
</pub-date>
<volume>37</volume>
<numero>96</numero>
<fpage>99</fpage>
<lpage>117</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2448-66552022000300099&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2448-66552022000300099&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2448-66552022000300099&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este artículo analiza la dependencia y el impacto del precio del petróleo (WTI), del oro (XAU) y la volatilidad del mercado de valores (VIX) sobre precio del Bitcoin (BTC) en el periodo de febrero de 2012 a septiembre de 2021 por medio de un modelo GARCH multivariado de tipo diagonal BEKK, con la intención de probar que existe un efecto de derrame de volatilidad entre las variables. Bajo la agrupación de tres pares (BTC-VIX, BTC-WTI y BTC-XAU), los hallazgos confirman la presencia del efecto y para su determinación actual, los choques rezagados en un periodo tienen especial relevancia en la relación BTC - VIX. En cuanto a la volatilidad anterior la mayor dependencia se da en el par BTC - XAU. Por su parte, la correlación condicional dinámica es negativa entre el BTC y el índice VIX puesto que los inversionistas buscan cubrirse del riesgo con la compra de otros activos ante la incertidumbre en algún mercado.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper analyzes the dependence and the impact of oil (WTI) and gold (XAU) prices, in addition to stock market volatility (VIX) over Bitcoin prices (BTC) from February 2012 to September 2021 through a multivariate GARCH model type diagonal BEKK, with the intention to prove the existence of a volatility spillover between such variables. Under the grouping of three pairs (BTC-VIX, BTC-WTI y BTC-XAU), findings confirm the presence of such effect and for its current determination, certain period lagging shocks have a special relevance in the relationship BTC - XAU. On the other hand, the dynamical conditional correlation is negative between the BTC and VIX index since investors seek to hedge against risk with the purchase of other assets in the face of uncertainty in a market.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[modelos de volatilidad]]></kwd>
<kwd lng="es"><![CDATA[criptomonedas]]></kwd>
<kwd lng="es"><![CDATA[mercado de insumos primarios]]></kwd>
<kwd lng="en"><![CDATA[volatility models]]></kwd>
<kwd lng="en"><![CDATA[cryptocurrency]]></kwd>
<kwd lng="en"><![CDATA[commodity markets]]></kwd>
</kwd-group>
</article-meta>
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