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Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

Paraskevi Katsiampa, Shaen Corbet () and Brian Lucey ()

Finance Research Letters, 2019, vol. 29, issue C, 68-74

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.

Keywords: Bitcoin; Ether; Litecoin; Volatility spillovers; BEKK-MGARCH (search for similar items in EconPapers)
JEL-codes: C32 C5 G1 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:68-74

DOI: 10.1016/j.frl.2019.03.009

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