A VECM analysis of Bitcoin price using time-varying cointegration approach
This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables – the Bitcoin price, Standard and Poor's 500 volatility index, US treasury 10-year yield, US consumer price index, gold price and dollar index. It also examined the effecti...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2022-07-01
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| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-01-2022-0001/full/pdf |