High-frequency return and volatility spillovers among cryptocurrencies

【Author】 Sensoy, Ahmet; Silva, Thiago Christiano; Corbet, Shaen; Tabak, Benjamin Miranda

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees points out that BTC, LTC and ETH are the most relevant cryptocurrencies in general, serving as connection hubs for linking many other cryptocurrencies. However, their role is challenged lately, potentially due to the increased usage of other cryptocurrencies in time.

【Keywords】Cryptocurrency; bitcoin; network; spillover; minimal spanning tree; hierarchical clustering; machine learning

【发表时间】2021 44782

【收录时间】2022-01-02

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