Smales, Lee A. - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-12
The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and stablecoins. Our results demonstrate that...
