Fig. 10

Net Pairwise Kurtosis Spillover for Bitcoin, Ethereum, Binance Coin, Cardano, Litecoin, and Ripple. The figure shows net pairwise kurtosis connectedness obtained from a TVP-VAR approach. A positive value for the spillover index indicates that the former of a pair is the net shock transmitter and that the latter is the receiver. In contrast, a negative value for the spillover index indicates that the former of a pair is the net shock receiver and that the latter is the transmitter. The x-axis reports years and quarters, and the y-axis reports net pairwise connectedness. The TVP-VAR coefficients are plotted in dark blue, whereas the red dashed line shows zero