Financial networks of cryptocurrency prices in time-frequency domains

Q1 Mathematics

Quality & Quantity Pub Date : 2023-06-21 DOI:10.1007/s11135-023-01704-w

Paolo Pagnottoni, Angelo Famà, Jong-Min Kim

引用次数: 1

Abstract

Abstract This paper explores financial networks of cryptocurrency prices in both time and frequency domains. We complement the generalized forecast error variance decomposition method based on a large VAR model with network theory to analyze the dynamic network structure and the shock propagation mechanisms across a set of 40 cryptocurrency prices. Results show that the evolving network topology of spillovers in both time and frequency domains helps towards a more comprehensive understanding of the interactions among cryptocurrencies, and that overall spillovers in the cryptocurrency market have significantly increased in the aftermath of COVID-19. Our findings indicate that a significant portion of these spillovers dissipate in the short-run (1–5 days), highlighting the need to consider the frequency persistence of shocks in the network for effective risk management at different target horizons.

查看原文本刊更多论文

时频域加密货币价格的金融网络

摘要本文从时间和频率两个方面探讨了加密货币价格的金融网络。我们将基于大型VAR模型的广义预测误差方差分解方法与网络理论相结合，分析了40种加密货币价格的动态网络结构和冲击传播机制。结果表明，在时域和频域不断变化的溢出效应网络拓扑有助于更全面地理解加密货币之间的相互作用，并且在2019冠状病毒病之后，加密货币市场的总体溢出效应显着增加。我们的研究结果表明，这些溢出效应的很大一部分会在短期内(1-5天)消散，这突出表明需要考虑网络中冲击的频率持续性，以便在不同的目标范围内进行有效的风险管理。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Quality & Quantity 管理科学-统计学与概率论

CiteScore

4.60

自引率

0.00%

发文量

276

审稿时长

4-8 weeks

期刊介绍： Quality and Quantity constitutes a point of reference for European and non-European scholars to discuss instruments of methodology for more rigorous scientific results in the social sciences. In the era of biggish data, the journal also provides a publication venue for data scientists who are interested in proposing a new indicator to measure the latent aspects of social, cultural, and political events. Rather than leaning towards one specific methodological school, the journal publishes papers on a mixed method of quantitative and qualitative data. Furthermore, the journal’s key aim is to tackle some methodological pluralism across research cultures. In this context, the journal is open to papers addressing some general logic of empirical research and analysis of the validity and verification of social laws. Thus The journal accepts papers on science metrics and publication ethics and, their related issues affecting methodological practices among researchers. Quality and Quantity is an interdisciplinary journal which systematically correlates disciplines such as data and information sciences with the other humanities and social sciences. The journal extends discussion of interesting contributions in methodology to scholars worldwide, to promote the scientific development of social research.