Structural change analysis of active cryptocurrency market
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...
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| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Penerbit Universiti Sains Malaysia
2022
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/44094/ |
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| Institution: | Universiti Malaya |