期刊
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
卷 36, 期 1, 页码 95-109出版社
WILEY
DOI: 10.1002/asmb.2478
关键词
Bitcoin; forecast error variance decomposition; market linkages; market risk; spillovers; vector autoregression; vector error correction
Bitcoins are traded on various exchange platforms and, therefore, prices may differ across trading venues. We aim to investigate return connectedness across eight of the major exchanges of Bitcoin, both from a static and a dynamic viewpoint. To this end, we employ an extension of the order-invariant forecast error variance decomposition proposed by Diebold and Yilmaz (2012) to a generalized vector error correction framework. Our results suggest that there is strong connectedness among the exchanges, as expected, although some of them behave dissimilarly. We identify Bitfinex and Coinbase as leading exchanges during the considered period, while Kraken as a follower exchange. We also obtain that connectedness across exchanges is strongly dynamic, as it evolves over time.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据