This paper uses new and recently introduced methodologies to study the similarity in the
dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 …

This paper introduces new methods for analysing the extreme and erratic behaviour of time
series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 …

This paper introduces new methods to study behaviours among the 52 largest
cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary …

This study aims to test multiple structural breaks using Bai-Perron methodology for the crypto
markets. We analyze return and volatility (proxied by absolute and squared returns) series of …

We explore the evolution of the informational efficiency in 45 cryptocurrency markets and 16
international stock markets before and during COVID-19 pandemic. The measures of …

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 …

Cryptocurrencies are considered the latest innovation in finance with considerable impact
across social, technological, and economic dimensions. This new class of financial assets …

We examine the presence of outliers and time-varying jumps in the returns of four major
cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad …

The extreme price swings and complexity in cryptocurrency markets drives multifarious
research into co-movements, in both time and frequency, among cryptocurrencies. In this …

This paper proposes a novel asymmetric jump model for modeling interactions in
discontinuous movements in asset prices. Given the jump behavior and high volatility levels …