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Liquidity connectedness in cryptocurrency market
2022
Financial Innovation
AbstractWe examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash. Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies, whereas BTC and LTC play
doi:10.1186/s40854-021-00308-3
pmid:35070642
pmcid:PMC8753850
fatcat:welaszzlwjfgrlo5nljfbsccwi