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Regime specific spillover across cryptocurrencies and the role of COVID-19
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous vari...
Tallennettuna:
| Julkaisussa: | Financ Innov |
|---|---|
| Päätekijät: | , , , |
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
Springer Berlin Heidelberg
2021
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| Aiheet: | |
| Linkit: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7786164/ https://ncbi.nlm.nih.gov/pubmed/35024270 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s40854-020-00210-4 |
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