Return and volatility spillovers among cryptocurrencies

DOI10.1016/j.econlet.2018.10.004zbMath1406.62119OpenAlexW2894651458WikidataQ111689775 ScholiaQ111689775MaRDI QIDQ1627002

Dimitrios Koutmos

Publication date: 22 November 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.004

zbMATH Keywords

spilloversvariance decompositionsvector autoregressioncryptocurrenciesBitcoin

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Vulnerability-CoVaR: investigating the crypto-market ⋮ Herding Behavior and Liquidity in the Cryptocurrency Market ⋮ Financial modelling, risk management of energy instruments and the role of cryptocurrencies ⋮ Risk quantification and validation for Bitcoin ⋮ Contagion and loss redistribution in crypto asset markets ⋮ Do asset-backed stablecoins spread crypto volatility to traditional financial assets? Evidence from tether ⋮ Are DeFi tokens a separate asset class from conventional cryptocurrencies? ⋮ How is price explosivity triggered in the cryptocurrency markets?

Cites Work

• Generalized impulse response analysis in linear multivariate models
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Price clustering in bitcoin
• An application of extreme value theory to cryptocurrencies
• Long memory interdependency and inefficiency in bitcoin markets
• Adaptive market hypothesis and evolving predictability of bitcoin

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