Mensi, Walid; Ur Rehman, Mobeen; Muhammad Shafiullah; … - In: Financial innovation : FIN 7 (2021), pp. 1-21
This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...
