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...

Full description

Saved in:
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
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items