On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19

Alessandro Cremaschini, Antonio Punzo, Eliano Martellucci and Antonello Maruotti

Applied Economics, 2023, vol. 55, issue 32, 3675-3688

Abstract: This study provides an empirical analysis on the main univariate and multivariate stylized facts iin return series of the two of the largest cryptocurrencies, namely Ethereum and Bitcoin. A Markov-Switching Vector AutoRegression model is considered to further explore the dynamic relationships between cryptocurrencies and other financial assets. We estimate the presence of volatility clustering, a rapid decay of the autocorrelation function, an excess of kurtosis and multivariate little cross-correlation across the series, except for contemporaneous returns. The analysis covers the pandemic period and sheds lights on the behaviour of cryptocurrencies under unexpected extreme events.

Date: 2023
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DOI: 10.1080/00036846.2022.2117777

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