Email this article The Spill Over Effect of Bitcoin on Fiat Currencies: A Study on Pre and Covid Period
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Applying the Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) method, we find evidence of spillover with changing patterns (from largely no spillover to negative spill over) between pre- Covid versus COVID-19 period. During the COVID period, Bitcoin demonstrates hedging capabilities against USD.
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DOI: http://dx.doi.org/10.20961/jab.v24i1.1258
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