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V. Terraza

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Open access Sep 2026

Regime-Dependent Dependence: Cryptocurrencies and Traditional Assets Under Structural Breaks

This study proposes a multi-stage approach to modelling dependencies using Vector Autoregression (VAR), Nonlinear Autoregressive Neural Network (NAR-NN) models, and copulas. This paper aims to assess the dynamic dependency structure between cryptocurrencies and traditional financial assets, considering regime changes a...

V. Terraza, A. B. Ipek · 0 citations

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