COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index

DOI10.1016/J.ECONLET.2021.110017zbMath1471.91633OpenAlexW3187336301MaRDI QIDQ1984430

Syed Kumail Abbas Rizvi, Stathis Polyzos, Ghulame Rubbaniy, Abiot Tessema

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110017

zbMATH Keywords

herding behaviorcryptocurrenciesCovid-19market fearVCRIX

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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