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Keywords: Impulse response function
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Journal Articles
Directional predictability and volatility spillover effect from stock market indexes to Bitcoin: evidence from developed and emerging markets
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 226–243.
Published: 17 January 2023
....; The author uses vector autoregressive (VAR) model, Granger causality test and impulse response function (IRF) to estimate the results of the study. Findings Empirical results show a significant unidirectional volatility spillover impact from emerging markets to Bitcoin and only six stock markets...
