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Keywords: Asymmetric dynamic conditional correlation-GARCH model
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2025) 42 (5): 1134–1147.
Published: 18 September 2025
... the asymmetric dynamic conditional correlation-GARCH model by Cappiello et al. (2006) to first test the dynamic correlation between BTC returns and the EPU index. Next, we analyze the second dynamic correlation between BTC returns and the VIX index. Findings The results show that the dynamic...
