Sensoy, Ahmet ORCID: 0000-0001-7967-5171, Silva, Thiago Christiano ORCID: 0000-0003-2631-4393, Corbet, Shaen ORCID: 0000-0001-7430-7417 and Tabak, Benjamin Miranda ORCID: 0000-0003-2631-4393 (2021) High-frequency return and volatility spillovers among cryptocurrencies. Applied Economics . ISSN 0003-6846
Abstract
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
Metadata
Item Type: | Article (Published) |
---|---|
Refereed: | Yes |
Uncontrolled Keywords: | Cryptocurrency; Bitcoin; Network; Spillover; Minimal Spanning Tree; Hierarchical Clustering; Machine Learning |
Subjects: | Business > Finance |
DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
Publisher: | Taylor & Francis |
Official URL: | https://dx.doi.org/10.1080/00036846.2021.1899119 |
Copyright Information: | © 2021 Taylor & Francis (CC-BY-NC) |
Funders: | 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 |
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