Skip to main content

Table 12 Averaged RS connectedness table-Robustness check

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

 

BTC

Dash

EOS

ETH

LTC

BAT

FROM

BTC

47.18 (39.05)

[6.03] {2.11}

3.69 (3.05)

[0.47] {0.17}

4.65 (3.73)

[0.68] {0.24}

25.87 (21.40)

[3.29] {1.18}

16.95 (13.38)

[2.63] {0.94}

1.66 (1.18)

[0.36] {0.13}

52.82 (42.73)

[7.42] {2.67}

Dash

5.06 (4.27)

[0.60] {0.19}

67.90 (54.64)

[9.74] {3.52}

16.99 (14.09)

[2.16] {0.74}

2.12 (1.65)

[0.34] {0.13}

2.05 (1.68)

[0.28] {0.10}

5.89 (5.00)

[0.66] {0.23}

32.10 (26.68)

[4.03] {1.38}

EOS

5.63 (4.62)

[0.75] {0.26}

16.27 (14.12)

[1.60] {0.54}

62.02 (50.27)

[8.65] {3.10}

3.31 (2.62)

[0.50] {0.19}

4.15 (3.31)

[0.62] {0.22}

8.62 (6.94)

[1.23] {0.45}

37.98 (31.61)

[4.71] {1.67}

ETH

26.31 (22.49)

[2.86] {0.97}

1.64 (1.39)

[0.18] {0.06}

2.66 (2.26)

[0.30] {0.10}

47.91 (39.77)

[6.01] {2.13}

20.18 (16.06)

[3.04] {1.08}

1.29 (1.00)

[0.22] {0.08}

52.09 (43.20)

[6.60] {2.29}

LTC

18.74 (15.97)

[2.07] {0.69}

1.67 (1.25)

[0.30] {0.11}

3.41 (2.79)

[0.46] {0.15}

21.63 (17.01)

[3.37] {1.24}

53.29 (42.72)

[7.76] {2.81}

1.27 (0.88)

[0.28] {0.11}

46.71 (37.90)

[6.50] {2.31}

BAT

2.60 (2.25)

[0.26] {0.08}

6.62 (5.49)

[0.83] {0.30}

10.55 (9.20)

[1.03] {0.32}

2.43 (1.99)

[0.32] {0.12}

2.05 (1.70)

[0.25] {0.09}

75.76 (61.16)

[10.74] {3.86}

24.24 (20.64)

[2.69] {0.91}

TO

58.33 (49.60)

[6.53] {2.20}

29.89 (25.31)

[3.39] {1.19}

38.26 (32.07)

[4.63] {1.55}

55.35 (44.67)

[7.82] {2.86}

45.38 (36.13)

[6.82] {2.43}

18.74 (14.99)

[2.75] {0.99}

TCI

NET

5.51 (6.86)

[− 0.89] {− 0.46}

− 2.21 (− 1.37)

[− 0.64] {− 0.20}

0.27 (0.46)

[− 0.08] {− 0.12}

3.26 (1.47)

[1.22] {0.57}

− 1.33 (− 1.78)

[0.32] {0.13}

− 5.50 (− 5.65)

[0.06] {0.08}

40.99 (33.79)

[5.33] {1.87}

  1. The values in parentheses (), square brackets [], and curly brace {} denote the short-term (1–5 days), medium-term (5–22 days), and long-term (more than 22 days) frequency connectedness results