Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/73994
Campo DC Valoridioma
dc.contributor.authorAndrada Félix, Juliánen_US
dc.contributor.authorFernández Pérez,Adriánen_US
dc.contributor.authorSosvilla Rivero,Simón Javieren_US
dc.date.accessioned2020-08-06T09:43:45Z-
dc.date.available2020-08-06T09:43:45Z-
dc.date.issued2019en_US
dc.identifier.otherDialnet-
dc.identifier.urihttp://hdl.handle.net/10553/73994-
dc.description.abstractThis paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of Antonakakis and Gabauer (2017). Our results suggest that a 34.43%, of the total variance of the forecast errors is explained by shocks across the eight examined cryptocurrencies and traditional currencies, indicating that the remainder 65.57% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. When we aggregate both markets by blocks, we find that the block of traditional currencies and the block of cryptocurrencies are mostly disconnected with periods of mild net volatility spill over between both blocks. Finally, our findings suggest that financial market variables are the main drivers of total connectedness within the traditional currencies, while the cryptocurrency-specific variables are identified as the key determinant for the total connectedness within the traditional currencies and a combination of business cycles and cryptocurrency-specific variables explain the directional volatility connectedness between both blocks.en_US
dc.languageengen_US
dc.publisherUniversitat de Barcelona-
dc.sourceDocument de Treball 2019/12 (IREA)en_US
dc.subject53 Ciencias económicasen_US
dc.subject.otherExchange ratesen_US
dc.subject.otherCryptocurrenciesen_US
dc.subject.otherConnectednessen_US
dc.subject.otherTime-varying parametersen_US
dc.subject.otherStepwise regressionsen_US
dc.titleDistant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilitiesen_US
dc.typeinfo:eu-repo/semantics/workingPaperen_US
dc.typeWorking paperen_US
dc.identifier.urlhttp://dialnet.unirioja.es/servlet/articulo?codigo=7025446-
dc.description.lastpage71en_US
dc.identifier.issue12-
dc.description.firstpage1en_US
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Documento de trabajoen_US
dc.description.notasInstitut de Recerca en Economia Aplicada Regional i Pública. Universitat de Barcelona JEL classification: C53, E44, F31, G15en_US
dc.contributor.authordialnetid200558-
dc.contributor.authordialnetid3260266-
dc.contributor.authordialnetidNo ID-
dc.identifier.dialnet7025446ARTREV-
dc.description.numberofpages74en_US
dc.utils.revisionen_US
dc.identifier.ulpgces
item.fulltextCon texto completo-
item.grantfulltextopen-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0001-8598-3234-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameAndrada Félix, Julián-
crisitem.author.fullNameFernández Pérez,Adrián-
crisitem.author.fullNameSosvilla Rivero,Simón Javier-
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