Zhu, Huiming; Ren, Yinghua; Xing, Zhanming; Chen, Yiwen; … - 2022
This article investigates the frequency domain causality and quantile connectedness between online investor fear sentiment and cryptocurrency returns over the period from July 2016 to July 2021. We put forwards frequency domain nonparametric Granger causality, cross-quantile coherency and...