The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect

In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopte...

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Detalles Bibliográficos
Autores principales: Salisu, Afees A., Ogbonna, Ahamuefula E.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620494/
https://www.ncbi.nlm.nih.gov/pubmed/38013954
http://dx.doi.org/10.1016/j.gfj.2021.100641

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620494/
https://www.ncbi.nlm.nih.gov/pubmed/38013954
http://dx.doi.org/10.1016/j.gfj.2021.100641

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