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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Bibliographic Details
Main Authors: Mohamad, Azhar, Inani, Sarveshwar Kumar
Format: Article
Language:English
Published: Taylor & Francis 2022
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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