index'' n that quantifies the degree of endogeneity of how much past events trigger future events. We report the following …

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

-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 …

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 …