Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-023-05757-w.pdf
Reference36 articles.
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3. Ankenbrand, T., & Bieri, D. (2018). Assessment of cryptocurrencies as an asset class by their characteristics. Investment Management and Financial Innovations, 15(3), 169–181.
4. Aslan, A., & Sensoy, A. (2020). Intraday efficiency-frequency nexus in the cryptocurrency markets. Finance Research Letters, 35, 1544–6123.
5. Bajgrowicz, P., Scaillet, O., & Treccani, A. (2015). Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. Management Science, 62(8), 2198–2217.
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