A non-linear approach to measure the dependencies between Bitcoin and other commodity markets
Year of publication: |
2021
|
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Authors: | Goutte, Stéphane ; Keddad, Benjamin |
Published in: |
Recent econometric techniques for macroeconomic and financial data. - Cham, Switzerland : Springer, ISBN 978-3-030-54251-1. - 2021, p. 303-314
|
Subject: | Bitcoin | Commodities | Markov-Switching VAR | Regime-dependent IRF | Rohstoffmarkt | Commodity market | Virtuelle Währung | Virtual currency | VAR-Modell | VAR model | Welt | World | Rohstoffpreis | Commodity price | Markov-Kette | Markov chain |
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