The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages
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DOI: 10.1016/j.frl.2019.05.006
Abstract: Abstract There is scarce literature examining the volatility linkages among leading cryptocurrencies, and none exists on the linkages among unexpected volatility, called ‘volatility surprise’. To address this literature gap, we build on the concept of… read more here.
Keywords: transitory permanent; volatility surprise; linkages among; volatility ... See more keywords