Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks

Onur Polat

doi:10.18037/ausbd.1272534

Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks

Öz

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.

Anahtar Kelimeler

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Onur Polat Bu kişi benim
Türkiye

Yayımlanma Tarihi

28 Mart 2023

Gönderilme Tarihi

2 Mart 2022

Kabul Tarihi

26 Aralık 2022

Yayımlandığı Sayı

Yıl 2023 Cilt: 23 Sayı: 1

DOI

https://doi.org/10.18037/ausbd.1272534

IZ

https://izlik.org/JA85AW58TC

Kaynak Göster

RIS / Bibtex

APA

Polat, O. (2023). Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 23(1), 29-50. https://doi.org/10.18037/ausbd.1272534

AMA

1.Polat O. Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks. AÜSBD. 2023;23(1):29-50. doi:10.18037/ausbd.1272534

Chicago

Polat, Onur. 2023. “Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 23 (1): 29-50. https://doi.org/10.18037/ausbd.1272534.

EndNote

Polat O (01 Mart 2023) Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks. Anadolu Üniversitesi Sosyal Bilimler Dergisi 23 1 29–50.

IEEE

[1]O. Polat, “Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks”, AÜSBD, c. 23, sy 1, ss. 29–50, Mar. 2023, doi: 10.18037/ausbd.1272534.

ISNAD

Polat, Onur. “Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 23/1 (01 Mart 2023): 29-50. https://doi.org/10.18037/ausbd.1272534.

JAMA

1.Polat O. Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks. AÜSBD. 2023;23:29–50.

MLA

Polat, Onur. “Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks”. Anadolu Üniversitesi Sosyal Bilimler Dergisi, c. 23, sy 1, Mart 2023, ss. 29-50, doi:10.18037/ausbd.1272534.

Vancouver

1.Onur Polat. Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks. AÜSBD. 01 Mart 2023;23(1):29-50. doi:10.18037/ausbd.1272534

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