Dynamic volatility connectedness among cryptocurrencies: evidence from time-frequency connectedness networks
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Erişim
info:eu-repo/semantics/openAccessAttribution-NonCommercial-NoDerivs 3.0 United Stateshttp://creativecommons.org/licenses/by-nc-nd/3.0/us/Tarih
2023Üst veri
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This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected the dynamic connectedness; (ii) the total connectedness index hits its apex around the official announcement of the pandemic; (iii) in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; (iv) the tightest volatility interdependencies are related to the short-run.
Kaynak
Anadolu Üniversitesi Sosyal Bilimler DergisiCilt
23Sayı
1Bağlantı
https://hdl.handle.net/11421/27117Koleksiyonlar
- Cilt: 23 Sayı: 1 [16]
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