Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility … dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin, Ether … and Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility …

We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 … periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly … and liquidity effects are identified. These results add further support to the argument that substantial flows of …

volatility forecasts of COMEX gold and silver futures markets. The in-sample results demonstrate the significant impacts of … for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored … cryptocurrency uncertainty on the volatilities of precious metal futures markets, and the out-of-sample evidence further confirms the …

cryptocurrencies, this paper investigates not only conditional volatility dynamics of major cryptocurrencies, but also their volatility … squared errors and past conditional volatility. It is also shown that both methodologies indicate that cryptocurrency … OmiseGo persist the least and shocks in Bitcoin persist the most, although all of the considered cryptocurrencies possess high …

This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence … developed by Birz and Lott [2011] to examine the hypothesis that Bitcoin returns are similarly affected by macroeconomic news … of the series' have a significant impact on Bitcoin returns. News relating to unemployment and durable goods …

This paper identifies several stylised facts relating to the volatility and price discovery process from eight … exhibit weekend-volatility effects while intra-day volatility is found to be influenced by international trading times …, periods of substantial volatility in the markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough …