Using an asymmetric breakpoint approach, the study finds that the COVID-19 pandemic significantly increased risk spillover among cryptocurrencies, amplified by confirmed cases and crude oil market resonance, with other financial markets remaining independent.
Spillover risks on cryptocurrency markets: A look from var-svar granger causality and student’st copulas
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A Dynamic Spillover Effect Investigation on Cryptocurrency Market Before and After Pandemic
Using an asymmetric breakpoint approach, the study finds that the COVID-19 pandemic significantly increased risk spillover among cryptocurrencies, amplified by confirmed cases and crude oil market resonance, with other financial markets remaining independent.