Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

Abstract Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...

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Bibliographic Details
Main Authors: Imran Yousaf, Shoaib Ali
Format: Article
Language:English
Published: SpringerOpen 2020-11-01
Series:Financial Innovation
Subjects:
Return spillover
Volatility spillover
Cryptocurrencies
Optimal weights
Hedge ratios
Hedging effectiveness
Online Access:http://link.springer.com/article/10.1186/s40854-020-00213-1

Internet

http://link.springer.com/article/10.1186/s40854-020-00213-1

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