Cui, Jinxin; Maghyereh, Aktham I. - In: Financial innovation : FIN 8 (2022), pp. 1-56
cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment … intraday high-frequency data. The empirical results demonstrate that the comovement of realized volatility between BTC and … other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The …