Huangbao Gui

The contagion effect: time-varying volatility spillovers between cryptocurrencies and commodities during systemic shocks

This study examines the dynamic volatility spillovers between 10 prominent cryptocurrencies and commodities (Brent oil, WTI, and gold), along with the US Dollar Index (USDX), to understand their roles as hedges and safe-haven assets in turbulent market conditions. We examine dail...