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Keywords: Vector autoregression
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Journal Articles
Revista de Gestao (2024) 31 (2): 137–151.
Published: 10 January 2023
... in a multivariate way: whether the prices of the same cryptocurrencies traded on different exchanges are temporally related to each other. ADF and KPSS tests, whereas the vector autoregression model of order p – VAR(p) – for multivariate system. Findings Both Bitcoin and Ethereum show efficiency in the weak...

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