Wu, Meiyu; Wang, Li; Yang, Haijun - In: Financial innovation : FIN 10 (2024), pp. 1-46
. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be … contributor on other exchanges. Bitfnex and Binance have diferent net spillover efects on the six cryptocurrency markets. Finally …, we identify the determinants of total connectedness in two types of volatility spillover, which can explain …