Cross-exchange trading induces risk spillover in the crypto market, especially for centralized exchanges, which compound crypto volatility and counterparty risk. We propose a Multivariate Heterogeneous AutoRegression for Crypto Market (MHAR-CM) to specifically investigate interconnectedness...

Several cryptocurrency (CC) indices track the dynamics of the rising CC sector, and soon ETFs will be issued on them. We conduct a qualitative and quantitative evaluation of the currently existing CC indices. As the CC sector is not yet consolidated, index issuers face the challenge of tracking...

Several cryptocurrency (CC) indices track the dynamics of the risingCC sector, and soon ETFs will be issued on them. We conduct a qualitativeand quantitative evaluation of the currently existing CC indices. As the CCsector is not yet consolidated, index issuers face the challenge of tracking...

Several cryptocurrency (CC) indices track the dynamics of the rising CC sector, and soon ETFs will be issued on them. We conduct a qualitative and quantitative evaluation of the currently existing CC indices. As the CC sector is not yet consolidated, index issuers face the challenge of tracking...