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Exploring the Dynamics of Digital Assets through Vector Autoregressive Modeling (VAR): Implications for Fintech and Financial Systems

Author

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  • Andrei Cristian Spulbar

    (University of Craiova, "Eugeniu Carada" Doctoral School of Economic Sciences, Romania)

Abstract

This study aims to explore the applicability of the VAR model in digital asset analysis, focusing in particular on Bitcoin and Ethereum, two of the most prominent and influential cryptocurrencies in the digital world. Our analysis aims not only to identify and interpret the dynamic relationships between these assets, but also to try to better understand their implications in the broader framework of financial technologies and systems. By adopting a multidisciplinary perspective, combining economic theory, statistics and digital finance, our study aspires to contribute to the existing literature and provide new insights and understanding in this fascinating and evolving field.

Suggested Citation

  • Andrei Cristian Spulbar, 2023. "Exploring the Dynamics of Digital Assets through Vector Autoregressive Modeling (VAR): Implications for Fintech and Financial Systems," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 866-876, December.
    • Handle: RePEc:ovi:oviste:v:xxiii:y:2023:i:2:p:866-876
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    More about this item

    Keywords

    (Vector Autoregressive Modeling VAR); Digital Assets Analysis; Cryptocurrencies (Bitcoin and Ethereum); Fintech and Financial Systems; Time Series Analysis;
    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
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • L17 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Open Source Products and Markets

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