The asymmetric contagion effect between stock market and cryptocurrency market
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DOI: 10.1016/j.frl.2021.102345
Abstract: Abstract This paper studies asymmetric contagion effects between stock and cryptocurrency markets. We implement the time-varying symmetrized Joe-Clayton copula GARCH model and Bai-Perron breakpoint test to explore dynamic correlations between the daily log-returns of the… read more here.
Keywords: cryptocurrency; asymmetric contagion; contagion effect; market ... See more keywords