The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages
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DOI: 10.1016/j.frl.2019.05.006
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More about this item
Keywords
Bitcoin; Cryptocurrency; Volatility surprise; frequency-domain Granger-causality;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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