Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models
Kavya Clanganthuruthil Sajeev, Mohd Afjal
Topics & Concepts
CryptocurrencySpillover effectVolatility (finance)EconomicsStock exchangeStock marketMonetary economicsStock (firearms)Financial economicsAutoregressive conditional heteroskedasticityFinancial marketBusinessFinanceMechanical engineeringEngineeringBiologyComputer securityComputer scienceMicroeconomicsHorsePaleontologyBlockchain Technology Applications and SecurityMarket Dynamics and VolatilityFinancial Risk and Volatility Modeling