Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects … significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and … fluctuations. Large-cap cryptocurrencies (Bitcoin and Ethereum) have greater co-volatility spillover effects between them and …