This study investigates the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile connectedness approach of Ando, Greenwood-Nimmo, and Shin (2022). We estimate the connectedness (i.e., direction and strength of spillover effects) at the median, extreme lower, and...

We investigate connectedness between energy cryptocurrencies and common asset classes, including oil, using TVP-VAR modeling, evidencing that energy cryptocurrencies, as diversifiers, normally have strong connections with bitcoin and nothing else. However, their connectedness to other assets...

Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...