The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility … results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak … high volatility regime. Notably, the network analysis reveals further evidence of much higher spillovers in the high …

We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The … pricing spread options of three assets under the stochastic volatility model. We derive a three-dimensional Fast Fourier … stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic …

assess Bitcoin prices' ability to predict the volatility of US composite and sectoral stock indices using both in-sample and …. The findings show that Bitcoin prices have significant predictive power for US stock volatility, with an inverse … relationship between Bitcoin prices and stock sector volatility. Regardless of the stock sectors or number of forecast horizons …

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 …