Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition

DOI10.1007/s10479-023-05757-wMaRDI QIDQ6644359

Wael Louhichi, Zied Ftiti, Hachmi Ben Ameur

Publication date: 27 November 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

contagionjumpCOVID-19 crisisco-jumpcontinuous volatilityDiebold and Yilmaz

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Inference from stochastic processes (62Mxx)

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