Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24
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 …
