Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility … and Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility …-directional shock spillovers from Litecoin to Ether. Finally, we identify bi-directional volatility spillover effects between all the …

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and …

This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI … asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The … study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency …

regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have …

. This article intends to study the volatility spillover effect between the Bitcoin market and China financial markets, and … then provide suggestions on how to prevent the spillover risk generated by Bitcoin. This article first uses the volatility … spillover index method proposed by Diebold and Yilmaz to analyze the static spillover effect, and then uses the volatility …

the dynamics of volatility spillover are observed for a span of 7 years – 2013 to 2020; wherein the total number of sample … & Binance coins are more adversely affected due to the bad news in the market, leading to rigorous fluctuations in volatility … model which we used to estimate and quantify the nature of volatility spillovers. Given the overall cryptocurrency bull …

(2):271-296, 2018), we investigate spillovers among the markets in realized volatility, the jump component of realized volatility …. Our results show that the cryptocurrency, stock, and commodity markets are highly connected in terms of volatility and in … the jump component of volatility, while their connectedness in skewness and kurtosis is smaller. Moreover, jump and …

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …