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...

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Detalles Bibliográficos
Autores principales: Shahzad, Syed Jawad Hussain, Bouri, Elie, Kang, Sang Hoon, Saeed, Tareq
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7786164/
https://www.ncbi.nlm.nih.gov/pubmed/35024270
http://dx.doi.org/10.1186/s40854-020-00210-4

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7786164/
https://www.ncbi.nlm.nih.gov/pubmed/35024270
http://dx.doi.org/10.1186/s40854-020-00210-4

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