I construct data-driven idiosyncratic crypto shocks using the Granular Instrumental Variables (GIVs) approach. I then use the identified shocks as an external instrument in Local Projection to investigate spillover effects.
@article{musholombo2023cryptocurrencies,title={Cryptocurrencies and stock market fluctuations},author={Musholombo, Bashige},journal={Economics Letters},volume={233},pages={111427},year={2023},publisher={Elsevier},keywords={publication}}