Price discovery in bitcoin spot or futures during the Covid-19 pandemic? evidence from the time-varying parameter vector autoregressive model with stochastic volatility
This paper examines price discovery between bitcoin spot and futures using static measures, namely information share (IS), component share (CS), modified information share (MIS), information leadership share (ILS), impulse response, and a time-varying parameter vector autoregressive (TVP-VAR) model...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2022
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/99156/1/99156_Price%20discovery%20in%20bitcoin%20spot.pdf http://irep.iium.edu.my/99156/ https://www.tandfonline.com/eprint/ZRJJE9GEQ77RMEPNH39G/full?target=10.1080/13504851.2022.2106030 |
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