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oai:gredos.usal.es:10366/1612352025-04-30T20:05:11Zcom_10366_4283com_10366_4200com_10366_3946com_10366_3823col_10366_4284

Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers Jiménez Jiménez, María Inés Mora Valencia, Andrés Perote Peña, Javier Volatility Higher-order moments Spillovers Halving Cryptocurrencies [EN] This paper introduces a flexible semi-nonparametric model, the so-called SNP-VSK model, to analyze the higher-order moment interactions among cryptocurrencies and the forex markets, i.e., accounting for conditional volatility, skewness, and kurtosis spillovers. These transmissions among cryptos are identified considering Bitcoin halving as a factor of price uncertainty. To study the degree of integration of cryptocurrency markets in the economy, spillover effects with the forex market are considered, showing that Bitcoin and Ethereum are the prime receivers of positive volatility transmission, a sign of integration with the currency markets, but also potential sources of financial instability. 2024-12-17T09:32:00Z 2024-12-17T09:32:00Z 2024-12-17T09:32:00Z 2024 info:eu-repo/semantics/article Jiménez, I., Mora-Valencia, A., & Perote, J. (2024). Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. International Review of Economics and Finance, 92, 302-315. https://doi.org/10.1016/J.IREF.2024.02.022 1059-0560 http://hdl.handle.net/10366/161235 10.1016/j.iref.2024.02.022 eng https://www.sciencedirect.com/science/article/pii/S1059056024000935?via%3Dihub http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess Attribution-NonCommercial-NoDerivatives 4.0 Internacional Elsevier