Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis

This article examines the co-movement relationship among representative cryptocurrencies from the perspectives of returns and volatility. Wavelet coherence and the correlation network are introduced to explore the interdependence of cryptocurrencies, and then risk reduction and downside risk reduction are used to test the hedging effects of Bitcoin on others at different time frequencies. The empirical results provide evidence of co-movement and...