Abstract:The aim of this paper is to study the interdependence between the Coronavirus Panic Index (PI) and major cryptocurrencies throughout the period of the Covid-19 pandemic.We investigate the evolution of cryptocurrency’s value following changes in the Covid panic index levels; then, we use the DCC-MIDAS specification to extract the long- and short-term volatility components of cryptocurrencies and study the responses of the cryptocurrencies to the pandemic panic index. The results show that the panic level metr… Show more
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