Research Article
Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market
| | BTC | USDT | XLM | ETH | BNB | XEM | LTC | XRP | EOS | DASH | XMR | BCH | DOGE | VET | LINK | THETA | FROM |
| BTC | 82.2 | 3.6 | 1.5 | 0.9 | 1.8 | 2.4 | 2.3 | 0.9 | 0.1 | 0 | 0.5 | 0.8 | 1 | 0.2 | 0.3 | 1.5 | 17.8 | USDT | 42.4 | 46.2 | 1.6 | 0.2 | 2.3 | 1.4 | 0.8 | 0.4 | 0 | 0 | 1.3 | 0.4 | 1.2 | 0.1 | 0 | 1.7 | 53.8 | XLM | 49.4 | 1.5 | 37.1 | 1.8 | 2.8 | 0.5 | 0.7 | 1.3 | 0.6 | 0.2 | 0.2 | 0.5 | 0.8 | 0.2 | 0.9 | 1.3 | 62.9 | ETH | 75 | 3 | 3.3 | 7.6 | 1.7 | 2 | 2.2 | 0.6 | 0.2 | 0.1 | 0.3 | 0.9 | 1 | 0.1 | 0.4 | 1.5 | 92.4 | BNB | 62.9 | 4.4 | 2.5 | 1.1 | 21.5 | 1.1 | 2 | 0.9 | 0 | 0 | 0.3 | 0.5 | 0.6 | 0.1 | 0.1 | 1.9 | 78.5 | XEM | 52.3 | 2.1 | 16.8 | 1.2 | 2.4 | 17.2 | 2 | 0.2 | 0.4 | 0.6 | 0.2 | 0.5 | 1.1 | 0.4 | 0.6 | 2.1 | 82.8 | LTC | 66.6 | 3.2 | 7.2 | 2.1 | 2.3 | 3.8 | 10.3 | 0.5 | 0.2 | 0.1 | 0.1 | 0.3 | 0.5 | 0.2 | 0.1 | 2.3 | 89.7 | XRP | 54.2 | 2.2 | 25.6 | 0.9 | 2.5 | 2.6 | 1.4 | 5.2 | 0.8 | 0.1 | 0.3 | 0.9 | 1 | 0.4 | 0.6 | 1.3 | 94.8 | EOS | 71.6 | 3.4 | 4.4 | 2.6 | 2.8 | 1.8 | 3.4 | 0.4 | 5.6 | 0 | 0.3 | 0.6 | 1.1 | 0.2 | 0.2 | 1.6 | 94.4 | DASH | 72.7 | 3.4 | 2.7 | 2.1 | 1.7 | 1.7 | 1.8 | 1.7 | 1.3 | 7.4 | 0.5 | 0.7 | 0.8 | 0.2 | 0.2 | 1.2 | 92.6 | XMR | 8.8 | 22.3 | 11.8 | 2.1 | 2.1 | 3.3 | 3.2 | 0.9 | 0.4 | 0.2 | 41.2 | 0.2 | 1 | 1.4 | 0.3 | 0.9 | 58.8 | BCH | 54.7 | 2.3 | 19.2 | 2.6 | 2.6 | 2.4 | 1.6 | 0.4 | 0.4 | 0.4 | 0.4 | 8.9 | 0.8 | 0.3 | 0.7 | 2.3 | 91.1 | DOGE | 63.4 | 5.4 | 2.9 | 0.6 | 9.1 | 0.7 | 2.1 | 0.7 | 0.2 | 0 | 0.5 | 0.3 | 11.4 | 0 | 0.1 | 2.6 | 88.6 | VET | 65.5 | 4 | 7.2 | 1.3 | 4.8 | 2.8 | 1.6 | 0.6 | 0.3 | 0.2 | 0.4 | 0.8 | 0.9 | 7.7 | 0.5 | 1.5 | 92.3 | LINK | 59.1 | 2.9 | 18.8 | 2.3 | 2.2 | 2 | 1.9 | 0.2 | 0.5 | 0.3 | 0.1 | 0.8 | 0.9 | 0.2 | 6.5 | 1.1 | 93.5 | THETA | 9.1 | 41.3 | 0.6 | 0.2 | 0.7 | 0.2 | 1.4 | 0.1 | 0.4 | 0.2 | 16.3 | 0.5 | 0.2 | 0.2 | 0.1 | 28.6 | 71.4 | TO | 807.6 | 105.1 | 126 | 22 | 41.8 | 28.7 | 28.1 | 10 | 5.9 | 2.5 | 21.8 | 8.6 | 12.8 | 4.5 | 5.3 | 24.6 | 1255.4 | NET | 871.9 | 97.4 | 100.2 | −62.7 | −15.2 | −36.8 | −51.3 | −79.6 | −82.9 | −82.6 | 4.2 | −73.6 | −64.4 | −80.1 | −81.7 | −18.2 | — |
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