The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South … African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were …. Empirical findings suggest that stock market volatility has a positive impact on the returns of BNB, Bitcoin, and Ethereum …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all …

found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should …

-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for … Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We … document a remarkable high percentage of jumps above 80% . We also find that realized volatility exhibits: (i) long memory; (ii …

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly … points to identify both bull and bear phases in high-frequency markets for the three largest cryptocurrencies of Bitcoin …, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these …

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin … instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in … modelling volatility in the debatable cryptocurrency markets. …

In this paper, we shall compare the average volatility that characterises the main stablecoin design types with a view … the same degree. Our research is motivated by the lack of rigorous studies comparing volatility of different stablecoin … opted for a standard volatility measure, i.e., standard deviation of return rates, corrected it for autocorrelation, and …

employed to measure connectedness. Results show no significant spillover effects between the nascent market of cryptocurrencies … and other financial markets. We suggest that cryptocurrencies are real independent financial instruments that pose no …

normality of the portfolio returns leads to the underestimation of portfolio risk. Cryptocurrencies are a decentralized digital … reveal a very high excess kurtosis and skewness for returns of cryptocurrencies. In order to incorporate larger skewness and … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A …