Candila, Vincenzo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-17
Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first … cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year … Correlation (DCC) model. In particular, we introduced the Double Asymmetric GARCH–MIDAS model in the DCC framework. …