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Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs

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  • Qiao, Xingzhi
  • Zhu, Huiming
  • Tang, Yiding
  • Peng, Cheng

Abstract

This study examines the time-frequency extreme risk spillover network among cryptocurrency coins, decentralized finance and non-fungible tokens via wavelet-based quantile causality analysis. We derive the following empirical results. First, long-lived coins dominate cryptocurrencies’ upside and downside risk networks. Second, yield farming tokens exacerbate decentralized finance's depreciation risk but hedge risk in the medium term. Metaverse-related non-fungible tokens are the center of NFTs’ upside risk network but reverse in the long term. Third, traditional concepts affect the depreciation risk, and emerging concepts drive market prosperity in the long run. Overall, these can provide investors with diversified strategies and risk management suggestions.

Suggested Citation

  • Qiao, Xingzhi & Zhu, Huiming & Tang, Yiding & Peng, Cheng, 2023. "Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006651
    DOI: 10.1016/j.frl.2022.103489
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    Cited by:

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    2. Zhongzheng, Wang, 2023. "Extreme risk transmission mechanism between oil, green bonds and new energy vehicles," Innovation and Green Development, Elsevier, vol. 2(3).

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    More about this item

    Keywords

    Cryptocurrency; DeFi tokens; NFTs; Wavelet; Quantile causality network;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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