The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages

【Author】 Bouri, Elie; Lucey, Brian; Roubaud, David

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】There is scarce literature examining the volatility linkages among leading cryptocurrencies, and none exists on the linkages among unexpected volatility, called `volatility surprise'. To address this literature gap, we build on the concept of volatility surprise and examine the causal linkages among the volatility of leading cryptocurrencies via the frequency-domain test of Bodart and Candelon (2009), discriminating between transitory and permanent causalities. Permanent shocks are more important in explaining the Granger-causality that does not necessarily emanate from the largest, Bitcoin, over short horizons, whereas transitory shocks dominate the causality across smaller cryptocurrencies over long horizons.

【Keywords】Bitcoin; Cryptocurrency; Volatility surprise; frequency-domain Granger-causality

【发表时间】2020 MAR

【收录时间】2022-01-02

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