Analysis of dynamic connectedness relationships between cryptocurrency, NFT and DeFi assets: TVP-VAR approach
Hilmi Tunahan AKKUŞ, Mesut Doğan
Abstract
The aim of this study is to analyse the dynamic connectedness relationship (DCR) between cryptocurrency, NFT, and DeFi assets. In the study, two cryptocurrencies consisting of Bitcoin and Ethereum, two NFTs consisting of Tezos and The Sandbox, and two DeFi assets consisting of Chainlik and Uniswap were analysed. The results showed that Ethereum cryptocurrency and Chainlink DeFi assets spilled volatility to other crypto assets. The other variables were assets that received volatility, and the volatility spillover relationship between NFT assets is less than other crypto assets.
Topics & Concepts
CryptocurrencyAssets under managementVolatility (finance)Social connectednessSpillover effectSandbox (software development)BusinessEconometricsEconomicsMonetary economicsComputer scienceFixed assetComputer securityMicroeconomicsProduction (economics)Software engineeringPsychologyPsychotherapistBlockchain Technology Applications and SecurityMarket Dynamics and VolatilityStock Market Forecasting Methods