Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis
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DOI: 10.1016/j.physa.2019.04.154
Abstract: Abstract We study the dynamics of volatility spillover across four major cryptocurrency returns namely Bitcoin, Ethereum, Ripple and Litecoin from 15 − 08 − 2015 to 18 − 01 − 2018 . In the first… read more here.
Keywords: volatility spillover; volatility; currency markets; crypto currency ... See more keywords