Bouri, Elie; Asl, Mahdi Ghaemi; Darehshiri, Sahar; … - In: Financial innovation : FIN 10 (2024), pp. 1-26
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising … bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong … asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate …