Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility
In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities. Then the asymmetry in volatility spillovers between Bitcoin markets is measured by the DY (...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-11-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2020.582817/full |