Volatility connectedness of major cryptocurrencies: The role of investor happiness

Author:

Bouri ElieORCID,Gabauer David,Gupta Rangan,Tiwari Aviral Kumar

Publisher

Elsevier BV

Subject

Finance

Reference39 articles.

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2. Exchange return co-movements and volatility spillovers before and after the introduction of Euro;Antonakakis;J. Int. Financ. Mark. Inst. Money,2012

3. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios;Antonakakis;J. Int. Financ. Mark. Inst. Money,2019

4. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions;Antonakakis;J. Risk Financ. Manage.,2020

5. Generalized dynamic factor models and volatilities: Recovering the market volatility shocks;Barigozzi;Econom. J.,2016

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