Fig. 4
Tail risk directional connectedness network over the entire sample period. Note: The connectedness is calculated using a TVP-VAR model with a length of order 1 chosen by the BIC. The generalized forecast error variance decomposition is based on a 20-step-ahead. Each node represents a cryptocurrency, the size of the node indicates its information contribution to the system, the width of the line denotes the magnitude of the information spillover, and the arrow symbolizes its direction