Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model

Abstract This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying tha...

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Hlavní autoři:	Imran Yousaf, Manel Youssef, Mariya Gubareva
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	SpringerOpen 2024-03-01
Edice:	Financial Innovation
Témata:	Non-fungible tokens Conventional currencies Static connectedness Dynamic return and volatility spillovers TVP–VAR model Covid-19
On-line přístup:	https://doi.org/10.1186/s40854-023-00570-7
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