This study investigates dynamic frequency connectedness for volatility differences among eight popular cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dash, Monero, Ripple, Nem and Stellar). It employs the methodologies of Diebold and Yilmaz (2014; 2016) and Baruník and Křehlík (2018). Furthermore, an analysis of diversification benefits and downside risk reductions is carried out. The results demonstrated dynamic spillovers, which intensified after 2017. Furthermore, Bitcoin, Ethereum, and Litecoin are net transmitters of risk, which can be a contagion source; Dash, Ripple, Monero, Stellar, and Nem are net receivers of risk. Moreover, the short-term risk spillover is more pronounced than the medium- and long-term risk spillovers, which also increased after 2017. The directional spillovers among cryptocurrencies is sensitive to frequencies. Finally, adding a cryptocurrency to a benchmark Bitcoin portfolio provides diversification benefits and downside risk reductions. In contrast, adding Bitcoin to a cryptocurrency portfolio do not offers diversification opportunities.

本研究调查了八种流行加密货币（比特币、以太坊、莱特币、达世币、门罗币、瑞波币、Nem 和恒星币）之间波动差异的动态频率连通性。它采用了 Diebold 和 Yilmaz（2014 年；2016 年）以及 Baruník 和 Křehlík（2018 年）的方法。此外，还对多元化收益和下行风险降低进行了分析。结果表明动态溢出效应在 2017 年后加剧。此外，比特币、以太坊和莱特币是风险的净传递者，可能是传染源；Dash、Ripple、Monero、Stellar 和 Nem 是风险的净接收者。此外，短期风险溢出比中长期风险溢出更加明显，中长期风险溢出也在2017年后有所增加。加密货币之间的定向溢出对频率敏感。最后，将加密货币添加到基准比特币投资组合可提供多元化收益并降低下行风险。相比之下，将比特币添加到加密货币投资组合中不会提供多元化机会。