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J. Mba

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Open access Sep 2026

Contagion Dynamics in Multi-Asset Cryptocurrency Markets: A Hawkes Process and DCC-GARCH Framework

Existing studies of cryptocurrency contagion typically analyse either event-driven shock propagation or time-varying correlations in isolation and often focus on small asset panels. This paper integrates univariate Hawkes intensity estimation, a pairwise cross-excitation layer, and a scalar DCC-GARCH model for twen...

E. Pindza, J. Mba · 1 citation

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