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Contagion Risk Measured by Return Among Cryptocurrencies · Study

WorkContagion Risk Measured by Return Among Cryptocurrencies

Toan Luu Duc Huynh2017

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Workgreen2017

Contagion Risk Measured by Return Among Cryptocurrencies

Toan Luu Duc Huynh · Sang Phu Nguyen · Duy Duong

40 citations·0/0 files stored·Studies in computational intelligence

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

1999An Introduction to Copulas 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2016The Inefficiency of Bitcoin 2015Hedging capabilities of bitcoin. Is it the virtual gold?2014Bitcoins as an investment or speculative vehicle? A first look 2016Negative bubbles and shocks in cryptocurrency markets

Cited by

2019An assessment of contagion risks in the banking system using non-parametric and Copula approaches 2020Modeling the optimal diversification opportunities: the case of crypto portfolios and equity portfolios 2022Asymmetric tail dependence modeling, with application to cryptocurrency market data 2020Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data 2019Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes

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Details

Year2017

Typeother

Published2017-12-19

VenueStudies in computational intelligence

ISSN-L1860-949X

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-319-73150-6_71

openalex_workW2781364060

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2022Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics