Wang, Yifu; Lu, Wanbo; Lin, Min-Bin; Ren, Rui; Hardle, … - 2023
Cross-exchange trading induces risk spillover in the crypto market, especially for centralized exchanges, which compound crypto volatility and counterparty risk. We propose a Multivariate Heterogeneous AutoRegression for Crypto Market (MHAR-CM) to specifically investigate interconnectedness...