Hasan, Mudassar; Naeem, Muhammad Abubakr; Arif, Muhammad; … - In: Financial innovation : FIN 8 (2022), pp. 1-25
We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271-296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin...
