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Investigating the relationship between volatilities of cryptocurrencies and other financial assets
This paper analyzes the relationships between volatilities of five cryptocurrencies, American indices (S&P500, Nasdaq, and VIX), oil, and gold. The results of the BEKK-GARCH model show evidence of a higher volatility spillover between cryptocurrencies and lower volatility spillover between crypt...
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| Publicado no: | Decisions Econ Finan |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer International Publishing
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7778871/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s10203-020-00312-9 |
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