Asl, Mahdi Ghaemi; Bouri, Elie; Darehshiri, Sahar; … - 2021
This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin, Ethereum, and Stellar) comprising nearly 75% of the cryptocurrencymarket capitalization. Using a novel Time-Varying Parameter Vector Autoregression(TVP-VAR) asymmetric...