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Tail risk measurement in crypto-asset markets · Study

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ArticleTail risk measurement in crypto-asset markets

Daniel Felix Ahelegbey2020

Article2020

Tail risk measurement in crypto-asset markets

Daniel Felix Ahelegbey · Paolo Giudici · Fatemeh Mojtahedi

72 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk and Portfolio Optimization

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References

2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002Conditional value-at-risk for general loss distributions 2001Extreme Correlation of International Equity Markets 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR 2006Rare Disasters and Asset Markets in the Twentieth Century*2015Systemic Risk and Stability in Financial Networks 2016Measuring Systemic Risk

Cited by

2022Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review 2021Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets 2023Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets 2024Cryptocurrency volatility: A review, synthesis, and research agenda 2021Tail event-based sovereign credit risk transmission network during COVID-19 pandemic

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Year2020

Typearticle

Published2020-11-10

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations72

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2020.101604

openalex_workW3014351130

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