0599012 20250317085532.520241007235959.9 85201593660 001301251400001 10.1016/j.physa.2024.130046 10 s. P cav_un_epca*02574230378-4371652Elsevier Bitcoin Computer modeling Simulation Price dynamics cav_un_auth*0474006 Queiroz R. G. S. BR cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0464873 David S. A. BR https://library.utia.cas.cz/separaty/2024/E/kristoufek-0599012.pdf https://www.sciencedirect.com/science/article/pii/S0378437124005557?via%3Dihub GA23-06606S GA ČR CZ cav_un_auth*0458718 During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models. WOS AH 50000 50200 50206 2025 3 RVO:67985556 https://hdl.handle.net/11104/0356723 S 130046 C PHYSICS.MULTIDISCIPLINARY 2.8 0.8 6.6 0.02439 0.553 36438 195 0.669 47.81 3.49 9079 Q2 2.600 654 Q2 72.4 0.8 Q2 72.4 2024 85201593660 SCOPUS PUBMED 001301251400001 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 652 1 2024 0378-4371 1873-2119 Elsevier