points to identify both bull and bear phases in high-frequency markets for the three largest cryptocurrencies of Bitcoin …, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these … market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the …

We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy … innovations of Tether liquidity can predict the returns from liquidity provision. The forecast power is also significant in out …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among … there was confirmed existence of volatility clusters when high volatility periods are followed by low volatility periods …

Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility … dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin, Ether … and Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility …

Diagonal BEKK model, this paper examines volatility dynamics of five major cryptocurrencies, namely Bitcoin, Ether, Ripple … case of Bitcoin, Ether, Ripple and Litecoin conditional volatility also captures asymmetric effects between good and bad … are significantly affected by both previous squared errors and past conditional volatility, with traders paying the most …