Katsiampa, P. orcid.org/0000-0003-0477-6503, Corbet, S. and Lucey, B. (2019) Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis. Finance Research Letters, 29. pp. 68-74. ISSN 1544-6123
Abstract
Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility, we find evidence of bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and uni-directional shock spillovers from Ether to Litecoin. Finally, we identify bi-directional volatility spillover effects between all the three pairs and provide evidence that time-varying conditional correlations exist and are mostly positive.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2019 Elsevier Inc. This is an author produced version of a paper subsequently published in Finance Research Letters. 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: | Bitcoin; Ether; Litecoin; Volatility spillovers; BEKK-MGARCH |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 20 May 2019 13:47 |
Last Modified: | 07 Mar 2020 01:39 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.frl.2019.03.009 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:146359 |
Download
Filename: Volatility_spillover_effects_in_leading_cryptocurrencies__A_BEKK_MGARCH_analysis.pdf
Licence: CC-BY-NC-ND 4.0