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Application of the VAR model in examining the determinants of returns of selected cryptocurrencies = Primena VAR modela u ispitivanju determinanti prinosa odabranih kriptovalutaStanković, Sunčica, 1970- = Станковић, Сунчица, 1970- ...Porast vrednosti kriptovaluta, tržišne kapitalizacije i obima trgovanja na kriptoberzama, rezultirali su značajnim povećanjem interesovanja istraživača za ovaj decentralizovani finansijski sistem. ... Najveću pažnju istraživača zauzele su dve najpopularnije kriptovalute danas - bitkoin i itirijum. S obzirom na to da je trgovanje kriptovalutama slično trgovanju akcijama, pretpostavka autora je da su njihovi prinosi determinisani cenom zlata i indeksom volatilnosti - VIX, što predstavlja istraživačku hipotezu ovog rada. Testiranjem putem modela vektorske autoregresije (VAR), Grejndžerovim testovima kauzalnosti i funkcijom impulsivnog odziva (IRF), pokazalo se da prinosi zlata nemaju uzročno-posledičan efekat na prinose bitkoina, za razliku od indeksa volatilnosti VIX i itirijuma, što ukazuje na značajnu povezanost kriptovalute bitkoin i tržišta akcija u SAD. S druge strane prinosi bitkoina i indeks volatilnosti uzrokuju prinose itirijuma, dok prinosi zlata ne.Source: БизИнфо [Електронски извор]. - ISSN 2406-2324 (Vol. 14, no. 1, 2023, str. 45-52.)Type of material - e-articlePublish date - 2023Language - englishCOBISS.SR-ID - 126013705
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| Year | Impact factor | Edition | Category | Classification | ||||
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| JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP | |
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DRS, in which the journal is indexed
| Database name | Field | Year |
|---|
| Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
|---|---|
| Stanković, Sunčica, 1970- = Станковић, Сунчица, 1970- |  |
| Đorđević, Bojan S., 1972- = Ђорђевић, Бојан С., 1972- | |
| Milojević, Nataša, 1971- = Милојевић, Наташа, 1971- | |
Source: Personal bibliographies
and: SICRIS
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