Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of central banking theory and practice 9 (2020) 3, pp. 87-106
This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers...