Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation

Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation

The aim of this paper is to study the interdependence between the Coronavirus Panic Index (PI) and  major cryptocurrencies throughout the period of the Covid-19 pandemic.We investigate the evolution of cryptocurrency’s value following changes in the Covid panic index levels; then, we use the DCC-MI...

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Bibliographic Details
Main Author: Lamia Kalai
Format: Article
Language:English
Published: EconJournals 2022-03-01
Series:International Journal of Economics and Financial Issues
Subjects:
Covid 19
Volatility
digital currency
DCC-MIDAS
Kernel regression
response-impulsion
Online Access:https://econjournals.com/index.php/ijefi/article/view/11675

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https://econjournals.com/index.php/ijefi/article/view/11675

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