Vector error correction models to measure connectedness of bitcoin exchange markets

DOI10.1002/ASMB.2478MaRDI QIDQ6576821

Paolo Giudici, Paolo Pagnottoni

Publication date: 23 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

spilloversmarket riskvector autoregressionbitcoinvector error correctionforecast error variance decompositionmarket linkages

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
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• Generalized impulse response analysis in linear multivariate models
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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