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Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most existing research focuses on the lower-order moment nexus (i.e. the return and volatility interactions). For the first time, this study investigates the high...

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Detalles Bibliográficos
Autores principales: Cui, Jinxin, Maghyereh, Aktham
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9522549/
https://www.ncbi.nlm.nih.gov/pubmed/36196450
http://dx.doi.org/10.1186/s40854-022-00395-w