Smales, Lee A. - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12
-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … unidirectional short-term (ARCH) spillover effect from BTC to ETH. We also find spillovers from BTC and ETH to USDT, but no influence …