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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/59273
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dc.contributor.authorNguyen Phuc Canh-
dc.contributor.otherUdomsakWongchoti-
dc.contributor.otherSu Dinh hanh-
dc.contributor.otherNguyen Trung Thong-
dc.date.accessioned2019-09-10T04:00:37Z-
dc.date.available2019-09-10T04:00:37Z-
dc.date.issued2019-
dc.identifier.issn1544-6123-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/59273-
dc.description.abstractThis study provides a formal analysis on the structural breaks and volatility spillovers in seven largest cryptocurrencies including Bitcoin, Litecoin, Ripple, Stellar, Monero, Dash, and Bytecoin. Cumulative sum test for parameter stability, Granger Causality test, LM test for ARCH and Dynamic conditional correlation MGARCH model indicate that: (1) the structural breaks are universally present in these popular cryptocurrencies; and (2) the shifts spread from smaller cryptocurrencies (in market capitalization) to larger ones. Notably, volatility spillovers also exist with strong positive correlations among cryptocurrencies. Our findings highlight the limit of diversification benefits within the cryptocurrency market itself.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherELSEVIER-
dc.relation.ispartofFinance Research Letters-
dc.relation.ispartofseriesVol. 29-
dc.rightsELSEVIER-
dc.subjectStructural breaken
dc.subjectCryptocurrenciesen
dc.subjectSpilloversen
dc.subjectVolatilityen
dc.subjectSystematic risken
dc.subjectDCC-MGARCHen
dc.titleSystematic risk in cryptocurrency market: evidence from DCC-MGARCH modelen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.frl.2019.03.011-
dc.format.firstpage90-
dc.format.lastpage100-
ueh.JournalRankingISI, Scopus, ABDC-
item.cerifentitytypePublications-
item.openairetypeJournal Article-
item.fulltextOnly abstracts-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
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