Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach

DOI10.1007/S10690-022-09384-6MaRDI QIDQ6131005FDOQ6131005

Authors: Nidhal Mgadmi, Azza Bejaoui, Wajdi Moussa 

Publication date: 3 April 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

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zbMATH Keywords

Markov switchingdigital currencieshealth crisis

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Volatility and return jumps in Bitcoin
• Any port in a storm: cryptocurrency safe-havens during the COVID-19 pandemic
• Solving the chaos model-data paradox in the cryptocurrency market

Cited In (2)

• Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
• Time varying risk aversion and its connectedness: evidence from cryptocurrencies

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