Ferreira, Paulo; Pereira, Éder - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-8
, we propose to evaluate the contagion effect between Bitcoin and other major cryptocurrencies. Using the Detrended Cross-Correlation … Analysis correlation coefficient (ΔρDCCA) and comparing the period after and before the crash, we found evidence of a contagion …