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Keywords: DCC-GARCH
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Journal Articles
Journal:
EuroMed Journal of Business
EuroMed Journal of Business (2026) 21 (1): 100–119.
Published: 07 August 2024
... (GPR) index formulated by Caldara and Iacoviello (2022), which encapsulates two pivotal events: the COVID-19 pandemic and the Russia–Ukraine conflict. The cryptocurrency market (CM) encompasses Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC) and Dogecoin (DOGE). Employing the DCC-GARCH model...
