IDEAS home Printed from https://ideas.repec.org/a/mbr/jmbres/v17y2024i60p261-293.html

A Network Analysis of Volatility Connectedness among Cryptocurrencies: A Quantile Vector Autoregressive Approach

Author

Listed:
  • taleblou, reza

    (associate professor faculty of economics, Allameh Tabataba'i University - -)

  • Mohajeri, Parisa

    (associate professor faculty of economics, Allameh Tabataba'i University - -)

  • Lasgari, Shakiba

    (Master Student of Economics, Allameh Tabataba'i University - -)

Abstract

This study employs a Quantitative Vector Autoregressive (QVAR)-based connectedness approach to explore the volatility transmission among 16 major cryptocurrencies that collectively represent over 90% of the total market cap from January 2018 to July 2024. The analysis reveals three key findings. First, the total connectedness index stands at 83.17%, signifying substantial

Suggested Citation

  • taleblou, reza & Mohajeri, Parisa & Lasgari, Shakiba, 2024. "A Network Analysis of Volatility Connectedness among Cryptocurrencies: A Quantile Vector Autoregressive Approach," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 17(60), pages 261-293, September.
    • Handle: RePEc:mbr:jmbres:v:17:y:2024:i:60:p:261-293
    as

    Download full text from publisher

    File URL: http://jmbr.mbri.ac.ir/article-1-2139-en.pdf
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-2139-en.html
    Download Restriction: no
    File URL: http://jmbr.mbri.ac.ir/article-1-2139-fa.html
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mbr:jmbres:v:17:y:2024:i:60:p:261-293. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: P. R. (email available below). General contact details of provider: https://www.mbri.ac.ir/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.