This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

This paper uncovers the dynamics of the asymmetric volatility spillovers across three majorcryptocurrencies (Bitcoin … pronounced than positive (good)spillovers, revealing the presence of asymmetric volatility effects in the cryptocurrency market … 2018 to 5th June 2021, the main findings are summarized as follows:Firstly, negative (bad) volatility spillovers are more …

sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin …Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and … Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 …