CRISIS AND CONTAGION IN CRYPTOCURRENCY MARKET
نویسندگان
چکیده
The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened contagion in cryptocurrency market utilizing samples of data representing pre-crisis and post-crisis periods. Employing wavelet coherence DCC-GARCH(1,1) models, we identify that started integrating from 2018 as volatility within reduced. Our main finding is highly interconnected during period. We draw appropriate policy implications these findings.
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ژورنال
عنوان ژورنال: Buletin Ekonomi Moneter dan Perbankan
سال: 2023
ISSN: ['1410-8046']
DOI: https://doi.org/10.59091/1410-8046.2054