Liu, Jianjian; Wang, Shuhan; Xiang, Lijin; Ma, Shiqun; … - In: The North American journal of economics and finance : a … 71 (2024), pp. 1-21
This study employs connectedness approach based on Time-Varying Parameter Vector Autoregression (TVP-VAR) and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) methods, to scrutinize the connectedness between the cryptocurrency implied exchange...
