Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes
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DOI: 10.1016/j.gfj.2024.101018
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Citations
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Cited by:
- Sila, Jan & Kocenda, Evzen & Kristoufek, Ladislav & Kukacka, Jiri, 2024.
"Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
- Jan Sila & Evzen Kocenda & Ladislav Kristoufek & Jiri Kukacka, 2023. "Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness," Working Papers IES 2023/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2023.
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More about this item
Keywords
Risk spillover; Interconnectedness; Cryptocurrencies; Bayesian graphical VAR; Cross-quantilogram;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
Statistics
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