Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs

Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs

This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and CRB Index). Employing the diagonal BEKK model...

Full description

Bibliographic Details
Main Authors: Iulia Cristina Iuga, Raluca-Andreea Nerișanu, Larisa-Loredana Dragolea
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Economics & Finance
Subjects:
Covolatility
cryptocurrency
green finance
economic indices
diagonal BEKK model
DCC GARCH
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2024.2437002

Internet

https://www.tandfonline.com/doi/10.1080/23322039.2024.2437002

Similar Items