The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach
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DOI: 10.1016/j.bir.2020.10.003
Abstract: Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both… read more here.
Keywords: covid period; litecoin; transmission; covid ... See more keywords