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. …

This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising … asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate … Islamic cryptocurrencies. Specifcally, Ethereum is the major net transmitter of positive volatility spillovers while Stellar …

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 …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price …