This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …

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

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

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 …

accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …