Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to...