Do social media sentiments drive cryptocurrency intraday price volatility? : new evidence from asymmetric TVP-VAR frequency connectedness measures
Year of publication: |
2024
|
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Authors: | Long, Suwan ; Chatziantoniou, Ioannis ; Gabauer, David ; Lucey, Brian M. |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 30.2024, 13, p. 1470-1489
|
Subject: | asymmetric connectedness | cryptocurrencies | dynamic connectedness | Intraday volatility | investor sentiment | TVP-VAR | Social Web | Social web | Volatilität | Volatility | Börsenkurs | Share price | Virtuelle Währung | Virtual currency | Anlageverhalten | Behavioural finance | ARCH-Modell | ARCH model |
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