Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach-Reference-Cited by-同舟云学术

Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach

Published:2022-10 Issue: Volume:49 Page:103070
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Cao Guangxi^ORCID,Xie Wenhao^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference45 articles.

1. Asymmetric tail dependence in cryptocurrency markets: a model-free approach;Ahn;Financ. Res. Lett.,2022

2. Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis;Akhtaruzzaman;Financ. Res. Lett.,2022

3. COVID-19 and cryptocurrency volatility: evidence from asymmetric modelling;Apergis;Financ. Res. Lett.,2021

4. Do cryptocurrencies transmit risk to traditional financial markets? ——based on dynamic change of directional spillover index;Bai;Collect. Essays Financ. Econ.,2020

5. Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers;Baruník;J. Financ. Mark.,2016

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