Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis

Published 2021 View Full Article

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Title
Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis
Authors
Keywords
Cryptocurrency markets, Dynamic spillovers, Connectedness network, Frequency-domain space, Diversification analysis
Journal
International Review of Economics & Finance
Volume 76, Issue -, Pages 96-113
Publisher
Elsevier BV
Online
2021-06-05
DOI
10.1016/j.iref.2021.05.009
References
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