This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …

With the increasing severe pollution, the new energy industry is greatly favored by the
government and investors. Using the static network connectedness method of Diebold and …

The emergence of cryptocurrencies has drawn significant investment capital in recent years
with an exponential increase in market capitalization and trade volume. However, the …

In this paper, we constructed a volatility spillover index based on the time-varying parameter
vector autoregressions (TVP-VAR) model to study the asymmetric volatility spillover effect …

This study contributes to the unconsolidated cryptocurrency literature, with a systematic
literature review focused on cryptocurrency market microstructure. We searched Web of …

The cryptocurrencies with small market capitalization are often overlooked despite they can
potentially be the source of shocks to other cryptocurrencies in the market. To address this …

Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and
volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and …

Through the application of the VAR-AGARCH model to intra-day data for three
cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and …

This study investigates the dynamic mechanism of financial markets on volatility spillovers
across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether …

Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to
participate in cryptocurrency production, increasing network hashrates and electricity …