Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? : a portfolio risk analysis
Year of publication: |
2021
|
---|---|
Authors: | Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Al-Jarrah, Idries Mohammad Wanas ; Xuan Vinh Vo ; Kang, Sang Hoon |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 76.2021, p. 96-113
|
Subject: | Connectedness network | Cryptocurrency markets | Diversification analysis | Dynamic spillovers | Frequency-domain space | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Virtuelle Währung | Virtual currency | Spillover-Effekt | Spillover effect | Welt | World | Schätzung | Estimation |
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