Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis

This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional correlation (DCC) approach to daily cryptocur...

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Detalles Bibliográficos
Autores principales: Ben-Ahmed, Kais, Theiri, Saliha, Kasraoui, Naziha
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10450843/
https://www.ncbi.nlm.nih.gov/pubmed/37636353
http://dx.doi.org/10.1016/j.heliyon.2023.e18847

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10450843/
https://www.ncbi.nlm.nih.gov/pubmed/37636353
http://dx.doi.org/10.1016/j.heliyon.2023.e18847

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