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Keywords: Vector autoregression
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Journal Articles
International Journal of Managerial Finance (2021) 17 (2): 327–341.
Published: 06 July 2020
... to explore the return and volatility spillover effects in the cryptocurrency market. Practically, the DY (2012) spillover approach is a volatility spillover measure grounded on the forecast error variance decompositions from vector autoregressions (VARs), and it can be used to measure the spillovers in any...
