Asymmetric dynamic spillover effect between cryptocurrency and China's financial market : evidence from TVP-VAR based connectedness approach
Guangxi Cao, Wenhao Xie
| Year of publication: |
2022
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|---|---|
| Authors: | Cao, Guangxi ; Xie, Wenhao |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-10
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| Subject: | Asymmetry | Cryptocurrency | TVP-VAR model | Volatility spillover | China | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103070 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013478628