Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

Finance Research Letters - Tập 29 - Trang 68-74 - 2019
Paraskevi Katsiampa1, Shaen Corbet2, Brian M. Lucey3,4,5
1Sheffield University Management School, The University of Sheffield, S10 2TN, UK
2DCU Business School, Dublin City University, Dublin 9, Ireland
3Institute of Business Research, University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu, Ward 6, District 3, Ho Chi Minh City, Vietnam
4Trinity Business School, Trinity College Dublin, Dublin 2, Ireland
5University of Sydney Business School, H70, Abercrombie St & Codrington St, Darlington, NSW, 2006, Australia

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