Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities
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DOI: 10.1016/j.intfin.2020.101219
Abstract: This paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of… read more here.
Keywords: distant close; connectedness; volatility; close cousins ... See more keywords