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
Conselho Nacional de Desenvolvimento Científico e Tecnológico [425123/2018-9,308171/2019-5,310541/2018-2,408546/2018-2], Turkish Academy of Sciences - Outstanding Young Scientists Award Program (TUBA-GEBIP).
ID Code:
25903
Deposited On:
26 May 2021 17:14 by
Thomas Murtagh
. Last Modified 22 Sep 2022 03:30