Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach
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DOI: 10.1007/s10690-022-09384-6
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- Parthajit Kayal & Sumanjay Dutta, 2024. "Regime switching and causal network analysis of cryptocurrency volatility: evidence from pre-COVID and post-COVID analysis," Digital Finance, Springer, vol. 6(2), pages 319-340, June.
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More about this item
Keywords
Digital currencies; Health crisis; Markov switching;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
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