Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis

International Review of Economics & Finance - Tập 76 - Trang 96-113 - 2021
Walid Mensi1,2, Khamis Hamed Al-Yahyaee3, Idries Mohammad Wanas Al-Jarrah4, Xuan Vinh Vo5, Sang Hoon Kang6,7
1Institute of Business Research, University of Economics Ho Chi Minh City, Vietnam
2South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation
3Muscat University, Al Ghubrah North, Muscat, Oman
4College of Business and Economics, Qatar University, Qatar
5Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Vietnam
6PNU Business School, Pusan National University, Republic of Korea
7UniSA Business, University of South Australia, Australia

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