On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19

【Author】 Cremaschini, Alessandro; Punzo, Antonio; Martellucci, Eliano; Maruotti, Antonello

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】This study provides an empirical analysis on the main univariate and multivariate stylized facts iin return series of the two of the largest cryptocurrencies, namely Ethereum and Bitcoin. A Markov-Switching Vector AutoRegression model is considered to further explore the dynamic relationships between cryptocurrencies and other financial assets. We estimate the presence of volatility clustering, a rapid decay of the autocorrelation function, an excess of kurtosis and multivariate little cross-correlation across the series, except for contemporaneous returns. The analysis covers the pandemic period and sheds lights on the behaviour of cryptocurrencies under unexpected extreme events.

【Keywords】Volatility clustering; Daily returns series; Hidden Markov models; Cryptocurrency market

【发表时间】

【收录时间】2022-10-05

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币