Mensi, Waild; Gubareva, Mariya; Al-Yahyaee, Khamis Hamed; … - In: Financial innovation : FIN 10 (2024), pp. 1-27
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for diferent quantiles employing a time-varying parameter vector autoregression approach. We fnd that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness...