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The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach
Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin,...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Borsa İstanbul Anonim şirketi. Production and hosting by Elsevier B.V.
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7550079/ http://dx.doi.org/10.1016/j.bir.2020.10.003 |