Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns
This article examines the connectedness between Bitcoin returns and returns of ten additional cryptocurrencies for several frequencies—daily, weekly, and monthly—over the period January 2015–March 2020 using a nonlinear autoregressive distributed lag (NARDL) approach. We find important and positive...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/5/810 |