Discontinuous movements and asymmetries in cryptocurrency markets

This paper proposes a novel asymmetric jump model for modeling interactions in discontinuous movements asset prices. Given the behavior and high volatility levels cryptocurrency markets, we apply our to cryptocurrencies study impact of various types jumps occurring one cryptocurrency’s price process on discontinuity component realized other cryptocurrencies. Our also allows us assess co-jumps. Using high-frequency data compute daily volatility, show that downside, upside, small observed negatively affect cryptocurrencies’ while large have opposite effect. We further find significant effects between as well downside upside several Moreover, evidence co-jumping behavior, which can trigger future jumps. The practical implications findings are discussed. Finally, extend analysis mainstream financial assets S&P 500 index