Time–frequency co-movement and risk connectedness among cryptocurrencies:new evidence from the higher-order moments before and during the COVID-19 pandemic  

作　　者：Jinxin Cui Aktham Maghyereh 

机构地区：[1]Collaborative Innovation Center of Statistical Data Engineering Technology and Application,Zhejiang Gongshang University,Hangzhou 310018,People’s Republic of China [2]International Business School,Zhejiang Gongshang University,Hangzhou 310018,People’s Republic of China [3]Department of Accounting and Finance,United Arab Emirates University,Abu Dhabi,United Arab Emirates

出　　处：《Financial Innovation》2022年第1期2411-2466,共56页金融创新（英文）

摘　　要：Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management.However,most existing research focuses on the lower-order moment nexus(i.e.the return and volatility interactions).For the first time,this study investigates the higher-order moment comovements and risk connectedness among cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains.We combine the realized moment measures and wavelet coherence,and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach(Chatziantoniou et al.in Integration and risk transmission in the market for crude oil a time-varying parameter frequency connectedness approach.Technical report,University of Pretoria,Department of Economics,2021)using intraday high-frequency data.The empirical results demonstrate that the comovement of realized volatility between BTC and other cryp-tocurrencies is stronger than that of the realized skewness,realized kurtosis,and signed jump variation.The comovements among cryptocurrencies are both time-dependent and frequency-dependent.Besides the volatility spillovers,the risk spillovers of high-order moments and jumps are also significant,although their magnitudes vary with moments,making them moment-dependent as well and are lower than volatility connectedness.Frequency connectedness demonstrates that the risk connectedness is mainly transmitted in the short term(1–7 days).Furthermore,the total dynamic connectedness of all realized moments is time-varying and has been significantly affected by the outbreak of the COVID-19 pandemic.Several practical implications are drawn for crypto investors,portfolio managers,regulators,and policymakers in optimizing their investment and risk management tactics.

关 键 词：Cryptocurrencies Higher-order realized moments and jumps Time-frequency comovements and connectedness High-frequency data COVID-19 pandemic 

分 类 号：F113[经济管理—国际贸易]