Fig. 3
From: On the role of stablecoins in cryptoasset pricing dynamics
Quantile-dependent Granger causality on market capitalizations. Testing statistics for all pairs are showed with a critical value for the null hypothesis of no causality from the first variable to the second one, with quantile specifics connected to the former. As the testing statistic is asymptotically normally distributed, the critical value is simply the 95th percentile of the standard Gaussian distribution, i.e., approximately 1.96 (Jeong et al. 2012). If the testing statistic exceeds the critical value, causality for the given quantile is identified. The testing statistics are calculated for the range of quantiles between 0.01 and 0.99 with a step of 0.01