Structural change analysis of active cryptocurrency market

• Main Authors: Yen, Tan Chia, Koh, You Beng, Ng, Kok Haur, Huat, Ng Kooi
• Format: Article
• Published: Penerbit Universiti Sains Malaysia 2022
• Subjects: QA Mathematics
• Online Access: http://eprints.um.edu.my/44094/

Motivated by the large frequent price fluctuation and excessive volatility observed in the cryptocurrency market, this study adopts Bai and Perron’s structural change model by incorporating the trading volume and autoregressive variables to examine the number and location of change points in daily c...