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Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach
In this paper, we attempt to understand and identify the cyclical fluctuations in cryptocurrency markets. To this end, we apply the Markov-Switching approach on daily prices of 17 selected digital currencies. This model allows us to capture the nonlinear structure in cryptocurrencies’ prices. The em...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Japan
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9593984/ http://dx.doi.org/10.1007/s10690-022-09384-6 |