Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
Year of publication: |
2023
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Authors: | Mohamad, Azhar ; Inani, Sarveshwar Kumar |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 30.2023, 19, p. 2749-2757
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Subject: | Bitcoin | Covid-19 | futures | Markov Chain Monte Carlo | price discovery | TVP-VAR | Coronavirus | VAR-Modell | VAR model | Markov-Kette | Markov chain | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Börsenkurs | Share price | Schätzung | Estimation | Epidemie | Epidemic | Virtuelle Währung | Virtual currency | Wirkungsanalyse | Impact assessment |
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