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Applied Economics
; 55(32):3675-3688, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2322561
ABSTRACT
This study provides an empirical analysis on the main univariate and multivariate stylized facts iin return series of the two of the largest cryptocurrencies, namely Ethereum and Bitcoin. A Markov-Switching Vector AutoRegression model is considered to further explore the dynamic relationships between cryptocurrencies and other financial assets. We estimate the presence of volatility clustering, a rapid decay of the autocorrelation function, an excess of kurtosis and multivariate little cross-correlation across the series, except for contemporaneous returns. The analysis covers the pandemic period and sheds lights on the behaviour of cryptocurrencies under unexpected extreme events.