Footnote:
In: Ahmet Sensoy, Thiago Christiano Silva, Shaen Corbet & Benjamin Miranda Tabak (2021) High-frequency return and volatility spillovers among cryptocurrencies, Applied Economics, 53:37, 4310-4328
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2022 erstellt
Description:
We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees points out that BTC, LTC and ETH are the most relevant cryptocurrencies in general, serving as connection hubs for linking many other cryptocurrencies. However, their role is challenged lately, potentially due to the increased usage of other cryptocurrencies in time