Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets
We present a multi-scale and time-frequency analysis of the degree of integration and the lead-lag relationship between six cryptocurrencies (i.e., Bitcoin, Bitcoincash, Ethereum, Litecoin, Ripple, and Tether) and the cryptocurrency-implied volatility index (VCRIX). As a result, the wavelet techniqu...
Αποθηκεύτηκε σε:
| Κύριοι συγγραφείς: | , , , , , , |
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| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
Taylor & Francis Group
2022-12-01
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| Σειρά: | Cogent Economics & Finance |
| Θέματα: | |
| Διαθέσιμο Online: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2061682 |
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