The study quantifies the spillover effects in the cryptocurrency market using a rolling-window
Bayesian Vector Autoregressive Model. The present study offers a better understanding of …

On a univariate setting, this study aims to:(a) model the volatility of Bitcoin, Dash, Monero,
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …

This paper contributes a shred of quantitative evidence to the embryonic literature as well as
existing empirical evidence regarding spillover risks among cryptocurrency markets. By …

How do cryptocurrency prices evolve? Is there any interdependence among cryptocurrency
returns and/or volatilities? Are there any return spillovers and volatility spillovers between …

The growing cryptocurrency market has attracted the attention from many investors
worldwide, mainly due to the ease of entering the market and its extremely volatile character …

This paper utilizes two methods to uncover the causality dynamic between the three leading
cryptocurrencies: Bitcoin, Litecoin, Ripple, and nine major foreign currency markets. Firstly …

This paper applies a Diagonal BEKK model to investigate the risk spillovers of three major
cryptocurrencies to ten leading traditional currencies and two gold prices (Spot Gold and …

This paper examines mean and volatility spillovers between three major cryptocurrencies
(Bitcoin, Litecoin and Ethereum) and the role played by cyber-attacks. Specifically, trivariate …

Over the past years, cryptocurrencies have drawn substantial attention from the media while
attracting many investors. Since then, cryptocurrency prices have experienced high …

In the age of the Fourth Industrial Revolution, cryptocurrencies have emerged as a marvel of
technological financial products, and a global phenomenon with a profound potential for …