Volatility Spillovers among the Cryptocurrency Time Series
<p>This paper uses different multivariate GARCH models to model conditional correlations and analyze the volatility spillovers between cryptocurrency time series. The dynamic conditional correlation GARCH model is found to fit the data the best. Our empirical results are fourfold. First, on av...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2019-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/7383 |