cryptocurrencies by market capitalization and COVID–19 news sentiment to capture cryptocurrency return and volatility dynamics. Results …

of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market … market efficiency in the case of the cryptocurrencies but not of the stock market indices considered. They also indicate that … cryptocurrencies can be a useful tool for investors to diversify and hedge when required in the case of the US markets. …

cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment … other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The … comovements among cryptocurrencies are both time-dependent and frequency-dependent. Besides the volatility spillovers, the risk …

-digital currencies; Bitcoin, Monaro, Litecoin, and Steller over the sample period of 2014-2018. The study applies Jarque-Bera test, ADF … and volatility clustering in returns and squared returns of selected cryptocurrencies. Further, the study adopts an … movements with linear and nonlinear dependences varies over time. Our tests also reveal that Bitcoin, Monaro and Litecoin have …

crypto returns. Our results indicate that cryptocurrencies have substantial spillover effects on the real economy through …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily …-volatility relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price … volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is contrary to …

We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from … deviations. We extend the existing literature on cryptocurrencies showing that there are various characteristics which are able …

suggest that while there is a mild relationship between returns on cryptocurrencies and commodities, precious metals in …

This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily …-volatility relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after … conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is …