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• W2922466487 abstract "Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility, we find evidence of bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and uni-directional shock spillovers from Ether to Litecoin. Finally, we identify bi-directional volatility spillover effects between all the three pairs and provide evidence that time-varying conditional correlations exist and are mostly positive." @default.
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• W2922466487 date "2019-06-01" @default.
• W2922466487 modified "2023-09-30" @default.
• W2922466487 title "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis" @default.
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• W2922466487 doi "https://doi.org/10.1016/j.frl.2019.03.009" @default.
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