The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach
Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin,...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-12-01
|
| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300648 |