COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling

This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatil...

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Detalles Bibliográficos
Autor principal: Apergis, Nicholas
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8723988/
https://www.ncbi.nlm.nih.gov/pubmed/35002550
http://dx.doi.org/10.1016/j.frl.2021.102659

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8723988/
https://www.ncbi.nlm.nih.gov/pubmed/35002550
http://dx.doi.org/10.1016/j.frl.2021.102659

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