In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...

In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...

This study investigates the lead-lag relationships and volatility dynamics among four major cryptocurrencies - Bitcoin, Ethereum, Solana, and Polygon - during the turbulent year of 2022. We address three primary research questions: (1) To what extent do lead-lag relationships exist among major...