Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis
By Paraskevi Katsiampa, Shaen Corbet, Brian M. Lucey. Finance Research Letters, 2019
261 citations recorded by the source corpus.
Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility, we find evidence of bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and uni-directional shock spillovers from Ether to Litecoin. Finally, we identify bi-directional volatility spillover effects between all the three pairs and provide evidence that time-varying conditional correlations exist and are mostly positive.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/3b9b720f30edfe9bc14f9b46886f65793e621299
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Citations in the corpus
- Cryptocurrency trading: a comprehensive survey (2020, methodology): “[133] applied three pair-wise bivariate BEKK models to examine the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies in 2018.”
- Bitcoin-energy markets interrelationships - New evidence (2020, unknown): “The paper by Kistoufek [2020] employs combination of cointegration models and causality test to identify the relationships between Bitcoin Price Index and costs of mining/creating a single Bitcoin.”
- The impact of macroeconomic news on Bitcoin returns (2020, unknown): “Similar research has been conducted on the newly developed Bitcoin futures market (Corbet et al. [2018a]; Katsiampa et al. [2019b]; Katsiampa et al. [2019a]).”