... is a necessary condition for accurate evaluation of cryptocurrencies. Stochastic modeling Cryptocurrencies Illiquid High volatility Regime switching Continuous time Markov chain Cryptocurrencies represent digital currencies that operate independently of central banks or governments and rely...

... Asian (EFA) markets. Design/methodology/approach This study uses the application of regime switching model because of its capability to explore time-varying causality across different regimes unlike traditional linear models. The Markov regime switching model uses regime switching probabilities...