Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility … regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime … results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak …