The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application

被引：0

作者：

Gulcan, Nazligul ^{[1
]}

Kucukcayli, Fatma Mumcu ^{[2
]}

机构：

[1] Burdur Mehmet Akif Ersoy Univ, Bucak Business Adm Fac, Business Adm Dept, Burdur, Turkiye

[2] Burdur Mehmet Akif Ersoy Univ, Aglasun Vocat Sch, Finance Banking & Insurance Dept, Burdur, Turkiye

来源：

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES | 2024年 / 19卷 / 03期

关键词：

Metaverse Token; Volatility Spillover; TVP-VA; BITCOIN; DOLLAR; RETURN; GARCH; GOLD;

D O I：

10.17153/oguiibf.1399452

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this study, the volatility spiliover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Coin, for the period 12.14.2021- 10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-VAR) model developed by Antonakakis et al. (2019). As a result of the research, it determines that Radio Caca and Axie Infinity only receive volatility; My Neighbor Alice and Enjin Coin only spread volatility: StarLink, Decentraland and Internet Computer are metaverse tokens that both receive and spread volatility.

引用

页码：906 / 922

页数：17

共 45 条

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