ArticleFinance research letters2022
COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling.
Article in Finance research letters, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 5 papers.
What it found
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Who cites it
5 citing papers in PubMed.
- Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis.Heliyon · 2023Article
- Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies.Empirical economics · 2023Article
- Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality.Financial innovation · 2023Article
- On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis.Resources policy · 2022Article
- Time-frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic.Financial innovation · 2022Article
Corrections and comments
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Authors and funding
1 author.
Funding
No grant is acknowledged in the PubMed record.
Abstract
This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.
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Registered trials
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