Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer, Brian Lucey
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Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures
In this paper, we investigate interdependencies between cryptocurrencies and investor sentiment by introducing the asymmetric TVP-VAR frequency connectedness approach. Our empirical results provide...
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