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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2023
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| Materias: | |
| 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 |