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| Dcc crypto | First, we start with the EGARCH model Nelson used to detect the conditional variance of the closing prices of the selected cryptocurrencies. The assumption is that the current volatility of one series is influenced not only by its own past process but also by past processes of volatilities of other series. Results for wavelet coherence: BTC market. Publication Notice and Disclaimer The information contained in this article is current as at the publication date. In this regard, the size and structure of cryptocurrency markets have been affected by price movements Gandal et al. Res Int Bus Finance � J Econ Perspect 29 2 � |
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