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Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies · Study

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ArticleEmpirical evidence of extreme dependence and contagion risk between main cryptocurrencies

Aviral Kumar Tiwari2019

Article2019

Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

Aviral Kumar Tiwari · Adeolu Olusegun Adewuyi · Claudiu Tiberiu Albulescu · Mark E. Wohar

61 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Blockchain Technology Applications and Security Market Dynamics and Volatility

Abstract

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Citations in this library

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References

2002Dynamic Conditional Correlation 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2006Quantitative Risk Management: Concepts, Techniques, and Tools 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2016The Inefficiency of Bitcoin

Cited by

2021Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis 2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic 2021Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula 2023Cryptocurrency market microstructure: a systematic literature review 2024Cryptocurrency volatility: A review, synthesis, and research agenda 2022Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID-19 pandemic 2020The pricing of bad contagion in cryptocurrencies: A four-factor pricing model 2020Modeling the optimal diversification opportunities: the case of crypto portfolios and equity portfolios

Details

Year2019

Typearticle

Published2019-10-03

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.najef.2019.101083

openalex_workW2978418854

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