This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI … study also indicates evidence of unidirectional cross-market asymmetric volatility transmission from the cryptocurrency … asymmetric volatility transmission on both markets. We apply MGARCH-BEKK and the algorithm-based GA2M machine learning model. The …

The cryptocurrency market has experienced stunning growth, with market value exceeding USD 1.5 trillion. We use a DCC …-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among …

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the … "pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and …

Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 …-Litecoin, and Ethereum-Litecoin pairs. However, the volatility transmissions are found to be different during the two sample periods …

This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum …(2):271-296 2018). Our analysis shows the COVID-19 pandemic amplifed volatility spillovers, thereby intensifying the impact of fnancial … across markets. Moreover, we show that Bitcoin, Ethereum, Chevron, ConocoPhilips, Apple, and Microsoft are net volatility …

model which we used to estimate and quantify the nature of volatility spillovers. Given the overall cryptocurrency bull …- In this analysis; we study the four major cryptocurrency returns that are Bitcoin, Ethereum, XRP, and Litecoin, where … the dynamics of volatility spillover are observed for a span of 7 years – 2013 to 2020; wherein the total number of sample …

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

This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum … resulting from cyber attacks provide evidence that the latter affect the transmission mechanism between cryptocurrency returns … portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the …

and Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility …Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility …-directional shock spillovers from Litecoin to Ether. Finally, we identify bi-directional volatility spillover effects between all the …