Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts and a net receiver during booms. Analysis of...

This study investigates the dynamics and spillovers between international monetary policy, between cryptocurrencies and across the two using daily data for four major economies (Eurozone, Japan, UK and US) and three key cryptocurrencies (Bitcoin, Litecoin and Ripple) over the period August 5,...

The paper examines the return and volatility transmission between NFTs, Defi assets, and other assets (oil, gold, Bitcoin, and S&P 500) using the generalized vector autoregressive framework. The results report weak static return and volatility spillovers between NFTs and Defi assets and selected...