The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin
Hao Dong, Liming Chen, Xinyi Zhang, Pierre Failler, and Sa Xu
| Year of publication: |
2020
|
|---|---|
| Authors: | Dong, Hao ; Chen, Liming ; Zhang, Xinyi ; Failler, Pierre ; Xu, Sa |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 6, p. 1293-1311
|
| Subject: | volatility spillover | asymmetric effect | Bitcoin | Markov regime-switching VAR model | virtual financial assets | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | VAR-Modell | VAR model | Virtuelle Währung | Virtual currency | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1671819 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211636