Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? : a portfolio risk analysis
Walid Mensi, Khamis Hamed Al-Yahyaee, Idries Mohammad Wanas Al-Jarrah, Xuan Vinh Vo, Sang Hoon Kang
| Year of publication: |
2021
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|---|---|
| Authors: | Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Al-Jarrah, Idries Mohammad Wanas ; Vo Xuan Vinh ; Kang, Sang Hoon |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 76.2021, p. 96-113
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| Subject: | Connectedness network | Cryptocurrency markets | Diversification analysis | Dynamic spillovers | Frequency-domain space | Virtuelle Währung | Virtual currency | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2021.05.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013175750