Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin; Odudu, … - In: International Journal of Managerial Finance 17 (2020) 2, pp. 327-341
Purpose: This paper examines the return and volatility spillovers among major cryptocurrency using daily data from 10/08/2015 to 15/04/2018. Design/methodology/approach: The authors employ the Dielbold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent...