High frequency volatility co-movements in cryptocurrency markets

Katsiampa, P. orcid.org/0000-0003-0477-6503, Corbet, S. and Lucey, B. (2019) High frequency volatility co-movements in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money. ISSN 1042-4431

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Copyright, Publisher and Additional Information: © 2019 Elsevier. This is an author-produced version of a paper subsequently published in the Journal of International Financial Markets, Institutions and Money. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Keywords: Cryptocurrencies; High-frequency data; Asymmetric Diagonal; BEKK; MGARCH; Volatility
Dates:
  • Accepted: 18 May 2019
  • Published (online): 22 June 2019
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 04 Jul 2019 14:23
Last Modified: 22 Jun 2020 00:40
Status: Published online
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.intfin.2019.05.003

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