Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks
نویسندگان
چکیده
This study examines the time-varying connectedness among realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement time frequency parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) COVID-19 pandemic significantly affected dynamic connectedness; (ii) total index hits its apex around official announcement pandemic; (iii) in line with previous studies Ethereum, Bitcoin, Link are largest propagators/recipients shocks; (iv) tightest volatility interdependencies related to short-run.
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ژورنال
عنوان ژورنال: Anadolu U?niversitesi sosyal bilimler dergisi
سال: 2023
ISSN: ['2667-8683']
DOI: https://doi.org/10.18037/ausbd.1272534