This paper investigates the connectedness among eighteen cryptocurrency assets including NFT, DeFi, gold-backed cryptocurrencies, and traditional cryptocurrencies. We also compute the Optimal hedge ratio for each pair of (gold-backed) cryptocurrency-NFT/DeFi and assess their hedge effectiveness. To this end, we use a combination of econometric methods. Our sample period goes from 01/11/2021 to 21/02/2023, making the empirical analysis insightful and interesting as it includes the Covid-19 health crisis and the Russia–Ukraine war. Our empirical findings highlight the dissimilarities between different cryptocurrencies in terms of connectedness with NFT/DeFi assets. They also reflect the diversification benefits generated by the inclusion of gold-backed cryptocurrencies into NFT/DeFi portfolios, in particular in times of unprecedented events. These findings could be useful for crypto-investors who search to diversify their portfolios.

中文翻译：

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动荡时期 NFT、DeFi 和加密货币之间的依赖结构：Archimax copula 方法

本文研究了包括 NFT、DeFi、黄金支持的加密货币和传统加密货币在内的 18 种加密货币资产之间的关联性。我们还计算每对（黄金支持的）加密货币 - NFT/DeFi 的最佳对冲比率，并评估其对冲有效性。为此，我们结合使用计量经济学方法。我们的样本期从 2021 年 1 月 11 日到 2023 年 2 月 21 日，这使得实证分析富有洞察力和有趣，因为其中包括了 Covid-19 健康危机和俄罗斯-乌克兰战争。我们的实证研究结果凸显了不同加密货币在与 NFT/DeFi 资产的关联性方面的差异。它们还反映了将黄金支持的加密货币纳入 NFT/DeFi 投资组合所产生的多元化收益，特别是在发生前所未有的事件时。这些发现对于寻求投资组合多元化的加密货币投资者可能有用。