great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …

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 …

cryptocurrency market is well known as very volatile, mainly for the fact that the cryptocurrencies have not the price to fall back … GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … (given by Geometric Brownian Motion). We conclude that the best method for value-at-risk estimation for cryptocurrencies is …

analyse their effects on the modelling and forecasting performance. The high-frequency volatility models were validated in …