Volatility in the Cryptocurrency Market
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DOI: 10.1007/s11079-019-09547-5
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More about this item
Keywords
Cryptocurrency; Financial markets; Spillover effects; GARCH-in-mean model; Asymmetric BEKK model; Volatility transmission;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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