Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets

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...

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Bibliographic Details
Main Authors: Samuel Kwaku Agyei, Anokye Mohammed Adam, Ahmed Bossman, Oliver Asiamah, Peterson Owusu Junior, Roberta Asafo-Adjei, Emmanuel Asafo-Adjei
Format: Article
Language:English
Published: Taylor & Francis Group 2022-12-01
Series:Cogent Economics & Finance
Subjects:
volatility
time-frequency
frequency-dependent
long memory
interdependencies
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2022.2061682
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https://www.tandfonline.com/doi/10.1080/23322039.2022.2061682

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