Volatility communicator or receiver? : investigating volatility spillover mechanisms among Bitcoin and other financial markets
Shangrong Jiang, Yuze Li, Quanying Lu, Shouyang Wang, Yunjie Wei
| Year of publication: |
2022
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|---|---|
| Authors: | Jiang, Shangrong ; Li, Yuze ; Lu, Quanying ; Wang, Shouyang ; Wei, Yunjie |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 59.2022, p. 1-14
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| Subject: | Financial property | Hypotheses testing | TVP-VAR model | Variational mode decomposition | Volatility spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2021.101543 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013402124