Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

Abstract This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantil...

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Bibliographic Details
Main Authors: Walid Mensi, Mariya Gubareva, Hee-Un Ko, Xuan Vinh Vo, Sang Hoon Kang
Format: Article
Language:English
Published: SpringerOpen 2023-05-01
Series:Financial Innovation
Subjects:
Cryptocurrency
Uncertainty indices
Quantile spillover
Cross-quantilogram
Online Access:https://doi.org/10.1186/s40854-023-00498-y

Internet

https://doi.org/10.1186/s40854-023-00498-y

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