This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected the dynamic connectedness; (ii) the total connectedness index hits its apex around the official announcement of the pandemic; (iii) in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; (iv) the tightest volatility interdependencies are related to the short-run.
Primary Language | Turkish |
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Journal Section | Articles |
Authors | |
Publication Date | March 28, 2023 |
Submission Date | March 2, 2022 |
Published in Issue | Year 2023 Volume: 23 Issue: 1 |
This work is licensed under Creative Commons Attribution-NonCommercial 4.0 International License.