The DOI matches its Crossref record; 53 of the 53 references it cites were found in a registry or an index.
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Abstract
Using the spillover index approach and its variants, we examine both static and dynamic volatility connectedness among eight typical cryptocurrencies. The results reveal that their connectedness fluctuates cyclically and has shown an obvious rise trend since the end of 2016. In the variance decomposition framework, we further construct a volatility connectedness network linking 52 cryptocurrencies using the LASSO-VAR for estimating high-dimensional VARs. We find that these 52 cryptocurrencies are tightly interconnected and “mega-cap” cryptocurrencies are more likely to propagate volatility shocks to others. However, some unnoticeable cryptocurrencies (e.g., Maidsafe Coin) are also significant net-transmitters of volatility connectedness and even have larger contribution of volatility spillovers to others.
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1 retracted
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Cited by
Ante, L. (2023) · Economics of Innovation and New Technology · doi:10.1080/10438599.2022.2119564 · Cited by 255
Fair market value of bitcoin: Halving effect
Meynkhard, A. (2019) · Investment Management and Financial Innovations · doi:10.21511/imfi.16(4).2019.07 · Cited by 83
Followness of Altcoins in the Dominance of Bitcoin: A Phase Analysis
Kulal, A. (2021) · Macro Management & Public Policies · doi:10.30564/mmpp.v3i3.3589 · Cited by 10
“GARCH model was used to examine the effect of Bitcoin on other variables like Gold, Interest rate, and exchange rate, and the study revealed the similarity of Bitcoin with Gold [35].”
MethodInfluentialCoin Specific Sentiments Matter For The Non-Fungible Tokens Spillovers: How And When?
Cepni, O., & Aysan, A. F. (2023) · Bulletin of Monetary Economics and Banking · doi:10.59091/2460-9196.2155 · Cited by 5
Metadata
- Authors
- Yi, S., Xu, Z., & Wang, G.-J.
- Venue
- International Review of Financial Analysis
- Publisher
- Elsevier BV
- Published
- 2018-11
- Volume
- 60
- Pages
- 98-114
- ISSN
- 1057-5219 (ISSN-L)
- OpenAlex
- W2888832810
- Cited by
- 434
- References
- 53
- FWCI
- 51.14
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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