Quantile connectedness in the cryptocurrency market
In order to move beyond mean-based connectedness measures in the cryptocurrency
market and capture connectedness under extreme events, this paper applies quantile-based …
market and capture connectedness under extreme events, this paper applies quantile-based …
[HTML][HTML] Connectedness of non-fungible tokens and conventional cryptocurrencies with metals
Employing the vector auto-regression based on generalized forecast error variance
decomposition, this paper investigates the connectedness of non-fungible tokens (NFTs) …
decomposition, this paper investigates the connectedness of non-fungible tokens (NFTs) …
[HTML][HTML] The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach
Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …
Regime specific spillover across cryptocurrencies and the role of COVID-19
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies
under low and high volatility regimes, while considering three pricing factors and the effect of …
under low and high volatility regimes, while considering three pricing factors and the effect of …
Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants
Spillovers in high-order moments are understudied in the cryptocurrency markets, and
notably their joint volatility-skewness-kurtosis spillover effect and its drivers are overlooked …
notably their joint volatility-skewness-kurtosis spillover effect and its drivers are overlooked …
Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks
We use time and frequency connectedness approaches based on network analysis to
investigate the volatility connectedness among 27 emerging equity markets and seven high …
investigate the volatility connectedness among 27 emerging equity markets and seven high …
Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets
On a univariate setting, this study aims to:(a) model the volatility of Bitcoin, Dash, Monero,
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …
Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs
Stylized facts of returns and volatility are an important approximation tool for empirical
finance studies, especially in the area of young and new assets. In this paper, we examine …
finance studies, especially in the area of young and new assets. In this paper, we examine …
Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 …
Analyzing comovements and connectedness is critical for providing significant implications
for crypto-portfolio risk management. However, most existing research focuses on the lower …
for crypto-portfolio risk management. However, most existing research focuses on the lower …
COVID-19 and cryptocurrency market: Evidence from quantile connectedness
This study quantifies the spillover effects among seven cryptocurrencies to explore the
spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple …
spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple …