... are systematically extracted to ascertain their role in explaining the daily closing prices of the chosen crypto assets. Initially, the predictive nexus structure is comparatively mined using Extreme Gradient Boosting, CatBoost, and Light Gradient Boosting Machine to unveil the impact of the sentiment indicators...

.../methodology/approach This study applies the cross-quantilogram (CQ) approach introduced by Han et al. (2016) to examine the safe-haven property of the Bitcoin against the other selected crypto assets. This method is robust for estimating bivariate volatility spillover between two markets given...