{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,19]],"date-time":"2026-05-19T02:44:49Z","timestamp":1779158689059,"version":"3.51.4"},"reference-count":36,"publisher":"Springer Science and Business Media LLC","issue":"2-3","license":[{"start":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T00:00:00Z","timestamp":1704153600000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T00:00:00Z","timestamp":1704153600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2024,10]]},"DOI":"10.1007\/s10479-023-05757-w","type":"journal-article","created":{"date-parts":[[2024,1,2]],"date-time":"2024-01-02T13:02:16Z","timestamp":1704200536000},"page":"757-779","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition"],"prefix":"10.1007","volume":"341","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4424-3488","authenticated-orcid":false,"given":"Hachmi","family":"Ben Ameur","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6216-1104","authenticated-orcid":false,"given":"Zied","family":"Ftiti","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Wa\u00ebl","family":"Louhichi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2024,1,2]]},"reference":[{"issue":"4","key":"5757_CR1","doi-asserted-by":"publisher","first-page":"1007","DOI":"10.1257\/jel.50.4.1007","volume":"50","author":"Y A\u00eft-Sahalia","year":"2012","unstructured":"A\u00eft-Sahalia, Y., & Jacod, J. (2012). Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data. Journal of Economic Literature, 50(4), 1007\u20131050.","journal-title":"Journal of Economic Literature"},{"issue":"4","key":"5757_CR2","doi-asserted-by":"publisher","first-page":"701","DOI":"10.1162\/rest.89.4.701","volume":"89","author":"TG Andersen","year":"2007","unstructured":"Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics, 89(4), 701\u2013720.","journal-title":"The Review of Economics and Statistics"},{"issue":"3","key":"5757_CR3","doi-asserted-by":"publisher","first-page":"169","DOI":"10.21511\/imfi.15(3).2018.14","volume":"15","author":"T Ankenbrand","year":"2018","unstructured":"Ankenbrand, T., & Bieri, D. (2018). Assessment of cryptocurrencies as an asset class by their characteristics. Investment Management and Financial Innovations, 15(3), 169\u2013181.","journal-title":"Investment Management and Financial Innovations"},{"key":"5757_CR4","doi-asserted-by":"publisher","first-page":"1544","DOI":"10.1016\/j.frl.2019.09.013","volume":"35","author":"A Aslan","year":"2020","unstructured":"Aslan, A., & Sensoy, A. (2020). Intraday efficiency-frequency nexus in the cryptocurrency markets. Finance Research Letters, 35, 1544\u20136123.","journal-title":"Finance Research Letters"},{"issue":"8","key":"5757_CR5","doi-asserted-by":"publisher","first-page":"2198","DOI":"10.1287\/mnsc.2015.2234","volume":"62","author":"P Bajgrowicz","year":"2015","unstructured":"Bajgrowicz, P., Scaillet, O., & Treccani, A. (2015). Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. Management Science, 62(8), 2198\u20132217.","journal-title":"Management Science"},{"issue":"2","key":"5757_CR6","doi-asserted-by":"publisher","first-page":"253","DOI":"10.1111\/1467-9868.00336","volume":"64","author":"OE Barndorff-Nielsen","year":"2002","unstructured":"Barndorff-Nielsen, O. E., & Shephard, N. (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society: Series B (statistical Methodology), 64(2), 253\u2013280.","journal-title":"Journal of the Royal Statistical Society: Series B (statistical Methodology)"},{"issue":"5","key":"5757_CR7","doi-asserted-by":"publisher","first-page":"796","DOI":"10.1016\/j.spa.2006.01.007","volume":"116","author":"OE Barndorff-Nielsen","year":"2006","unstructured":"Barndorff-Nielsen, O. E., Shephard, N., & Winkel, M. (2006). Limit theorems for multipower variation in the presence of jumps. Stochastic Processes and Their Applications, 116(5), 796\u2013806.","journal-title":"Stochastic Processes and Their Applications"},{"key":"5757_CR8","doi-asserted-by":"crossref","unstructured":"Becker, J., Breuker, D., Heide, T., Holler, J., Rauer, H., and Bohme, R. 2013. Can We Afford Integrity by Proof-of-Work? Scenarios Inspired by the Bitcoin Currency. The Economics of Information Security and Privacy. pp 135\u2013156.","DOI":"10.1007\/978-3-642-39498-0_7"},{"issue":"2","key":"5757_CR9","doi-asserted-by":"publisher","first-page":"179","DOI":"10.1007\/s10287-016-0267-0","volume":"14","author":"PCS Bezerra","year":"2017","unstructured":"Bezerra, P. C. S., & Albuquerque, P. H. M. (2017). Volatility forecasting via SVR\u2013GARCH with mixture of Gaussian kernels. Computational Management Science, 14(2), 179\u2013196.","journal-title":"Computational Management Science"},{"issue":"1","key":"5757_CR10","doi-asserted-by":"publisher","first-page":"234","DOI":"10.1016\/j.jeconom.2008.01.006","volume":"144","author":"T Bollerslev","year":"2008","unstructured":"Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification. Journal of Econometrics, 144(1), 234\u2013256.","journal-title":"Journal of Econometrics"},{"key":"5757_CR11","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.05.006","volume":"33","author":"E Bouri","year":"2020","unstructured":"Bouri, E., Lucey, B., & Roubaud, D. (2020a). The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages. Finance Research Letters, 33, 101188.","journal-title":"Finance Research Letters"},{"key":"5757_CR12","doi-asserted-by":"publisher","first-page":"396","DOI":"10.1016\/j.qref.2019.09.003","volume":"76","author":"E Bouri","year":"2020","unstructured":"Bouri, E., Roubaud, D., & Shahzad, S. J. H. (2020b). Do Bitcoin and other cryptocurrencies jump together? The Quarterly Review of Economics and Finance, 76, 396\u2013409.","journal-title":"The Quarterly Review of Economics and Finance"},{"issue":"2","key":"5757_CR13","doi-asserted-by":"publisher","first-page":"485","DOI":"10.1016\/j.ijforecast.2018.09.005","volume":"35","author":"L Catania","year":"2019","unstructured":"Catania, L., Grassi, S., & Ravazzolo, F. (2019). Forecasting cryptocurrencies under model and parameter instability. International Journal of Forecasting, 35(2), 485\u2013501.","journal-title":"International Journal of Forecasting"},{"key":"5757_CR14","doi-asserted-by":"publisher","first-page":"198","DOI":"10.1016\/j.econmod.2019.05.016","volume":"85","author":"L Charfeddine","year":"2020","unstructured":"Charfeddine, L., Benlagha, N., & Maouchi, Y. (2020). Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. Economic Modelling, 85, 198\u2013217.","journal-title":"Economic Modelling"},{"key":"5757_CR15","doi-asserted-by":"publisher","first-page":"81","DOI":"10.1016\/j.frl.2017.12.006","volume":"26","author":"S Corbet","year":"2018","unstructured":"Corbet, S., Lucey, B., & Yarovaya, L. (2018). Datestamping the bitcoin and ethereum bubbles. Finance Research Letters, 26, 81\u201388.","journal-title":"Finance Research Letters"},{"key":"5757_CR16","doi-asserted-by":"publisher","first-page":"32","DOI":"10.1016\/j.frl.2019.04.027","volume":"31","author":"Sh Corbet","year":"2019","unstructured":"Corbet, Sh., Eraslan, V., Lucey, B., & Sensoy, A. (2019). The effectiveness of technical trading rules in cryptocurrency markets. Finance Research Letters, 31, 32\u201337.","journal-title":"Finance Research Letters"},{"issue":"1","key":"5757_CR17","doi-asserted-by":"publisher","first-page":"57","DOI":"10.1016\/j.ijforecast.2011.02.006","volume":"28","author":"FX Diebold","year":"2012","unstructured":"Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57\u201366.","journal-title":"International Journal of Forecasting"},{"issue":"5","key":"5757_CR18","doi-asserted-by":"publisher","first-page":"2223","DOI":"10.1111\/0022-1082.00494","volume":"57","author":"KJ Forbes","year":"2002","unstructured":"Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57(5), 2223\u20132261.","journal-title":"The Journal of Finance"},{"key":"5757_CR19","doi-asserted-by":"publisher","first-page":"665","DOI":"10.1007\/s10479-021-04116-x","volume":"330","author":"Z Ftiti","year":"2021","unstructured":"Ftiti, Z., Louhichi, W., & Ben Ameur, H. (2021). Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak? Annals of Operations Research, 330, 665\u2013690.","journal-title":"Annals of Operations Research"},{"issue":"4","key":"5757_CR20","doi-asserted-by":"publisher","first-page":"111","DOI":"10.3390\/risks7040111","volume":"7","author":"P Giudici","year":"2019","unstructured":"Giudici, P., & Pagnottoni, P. (2019). High frequency price change spillovers in bitcoin markets. Risks, 7(4), 111.","journal-title":"Risks"},{"key":"5757_CR21","unstructured":"Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M. C., & Siering, M. (2014). Bitcoin-asset or currency? revealing users' hidden intentions.\u00a0Revealing Users' Hidden Intentions (April 15, 2014). ECIS."},{"key":"5757_CR22","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2020.101603","volume":"38","author":"M Gronwald","year":"2021","unstructured":"Gronwald, M. (2021). How explosive are cryptocurrency prices? Finance Research Letters, 38, 101603.","journal-title":"Finance Research Letters"},{"key":"5757_CR23","doi-asserted-by":"publisher","first-page":"431","DOI":"10.1016\/j.irfa.2018.03.004","volume":"63","author":"K Guesmi","year":"2019","unstructured":"Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis, 63, 431\u2013437.","journal-title":"International Review of Financial Analysis"},{"issue":"4","key":"5757_CR24","doi-asserted-by":"publisher","first-page":"739","DOI":"10.3934\/QFE.2019.4.739","volume":"3","author":"SA Gyamerah","year":"2019","unstructured":"Gyamerah, S. A. (2019). Modelling the volatility of Bitcoin returns using GARCH models. Quantitative Finance and Economics, 3(4), 739.","journal-title":"Quantitative Finance and Economics"},{"key":"5757_CR25","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2022.101720","volume":"62","author":"BRIK Hatem","year":"2022","unstructured":"Hatem, B. R. I. K., El Ouakdi, J., & Ftiti, Z. (2022). Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics. Research in International Business and Finance, 62, 101720.","journal-title":"Research in International Business and Finance"},{"issue":"1","key":"5757_CR26","doi-asserted-by":"publisher","first-page":"119","DOI":"10.1016\/0304-4076(95)01753-4","volume":"74","author":"G Koop","year":"1996","unstructured":"Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119\u2013147.","journal-title":"Journal of Econometrics"},{"key":"5757_CR27","doi-asserted-by":"publisher","first-page":"109936","DOI":"10.1016\/j.chaos.2020.109936","volume":"138","author":"S Lahmiri","year":"2020","unstructured":"Lahmiri, S., & Stelios, B. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons & Fractals, 138, 109936.","journal-title":"Chaos, Solitons & Fractals"},{"issue":"6","key":"5757_CR28","doi-asserted-by":"publisher","first-page":"2535","DOI":"10.1093\/rfs\/hhm056","volume":"21","author":"SS Lee","year":"2008","unstructured":"Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new nonparametric test and jump dynamics. The Review of Financial Studies, 21(6), 2535\u20132563.","journal-title":"The Review of Financial Studies"},{"key":"5757_CR29","doi-asserted-by":"publisher","first-page":"2","DOI":"10.54695\/bmi.163.4646","volume":"163","author":"MA Madani","year":"2020","unstructured":"Madani, M. A., Ftiti, Z., Louhichi, W., & Ameur, H. B. (2020). Intraday hedging and the safe haven role of Bitcoin. Bankers, Markets & Investors, 163, 2\u201313.","journal-title":"Bankers, Markets & Investors"},{"issue":"102583","key":"5757_CR30","first-page":"1","volume":"55","author":"MM Patel","year":"2020","unstructured":"Patel, M. M., Tanwar, S., Gupta, R., & Kumar, N. (2020). A deep learning-based cryptocurrency price prediction scheme for financial institutions. Journal of Information Security and Applications, 55(102583), 1\u201322.","journal-title":"Journal of Information Security and Applications"},{"issue":"1","key":"5757_CR31","doi-asserted-by":"publisher","first-page":"17","DOI":"10.1016\/S0165-1765(97)00214-0","volume":"58","author":"HH Pesaran","year":"1998","unstructured":"Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17\u201329.","journal-title":"Economics Letters"},{"key":"5757_CR32","doi-asserted-by":"publisher","first-page":"68","DOI":"10.1016\/j.frl.2018.04.002","volume":"28","author":"A Sensoy","year":"2019","unstructured":"Sensoy, A. (2019). The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies. Finance Research Letters, 28, 68\u201373.","journal-title":"Finance Research Letters"},{"key":"5757_CR33","first-page":"14","volume":"5","author":"G S\u00f6derberg","year":"2018","unstructured":"S\u00f6derberg, G. (2018). Are Bitcoin and other crypto-assets money? Economic Commentaries, 5, 14.","journal-title":"Economic Commentaries"},{"key":"5757_CR34","doi-asserted-by":"publisher","first-page":"80","DOI":"10.1016\/j.econlet.2016.09.019","volume":"148","author":"A Urquhart","year":"2016","unstructured":"Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letters, 148, 80\u201382.","journal-title":"Economics Letters"},{"issue":"11","key":"5757_CR35","doi-asserted-by":"publisher","first-page":"278","DOI":"10.3390\/jrfm13110278","volume":"13","author":"H Xiao","year":"2020","unstructured":"Xiao, H., & Sun, Y. (2020). Forecasting the Returns of Cryptocurrency: A Model Averaging Approach. Journal of Risk and Financial Management, 13(11), 278.","journal-title":"Journal of Risk and Financial Management"},{"key":"5757_CR36","doi-asserted-by":"publisher","first-page":"101589","DOI":"10.1016\/j.intfin.2022.101589","volume":"79","author":"L Yarovaya","year":"2020","unstructured":"Yarovaya, L., Brzeszczy\u0144ski, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2020). Rethinking Financial Contagion: Information Transmission Mechanism during the COVID-19 pandemic.\". Journal of International Financial Markets, Institutions and Money, 79, 101589.","journal-title":"Journal of International Financial Markets, Institutions and Money"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-023-05757-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-023-05757-w\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-023-05757-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,10,15]],"date-time":"2024-10-15T15:50:00Z","timestamp":1729007400000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-023-05757-w"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,1,2]]},"references-count":36,"journal-issue":{"issue":"2-3","published-print":{"date-parts":[[2024,10]]}},"alternative-id":["5757"],"URL":"https:\/\/doi.org\/10.1007\/s10479-023-05757-w","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024,1,2]]},"assertion":[{"value":"31 March 2021","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"27 November 2023","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"2 January 2024","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}