Fan, Hao; Xu, Yahua; Bouri, Elie; Zeng, Pingping - 2023
This paper examines the risk cascade in high-order moments between investors and traders operating at diļ¬erent investment horizons in the cryptocurrency market. After constructing realized skewness and kurtosis on five major cryptocurrencies (BTC, ETH, XRP, LTC, and XLM) based on...