Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Year of publication: |
2023
|
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Authors: | Hakim, Arief ; Syuhada, Khreshna |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 2, Art.-No. 35, p. 1-45
|
Subject: | cryptocurrency | speculative bubble | conditional value-at-risk | asymmetric loss function | asymmetry | leptokurticity | tail dependence | elliptical copula | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Spekulationsblase | Bubbles | Virtuelle Währung | Virtual currency | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Schätzung | Estimation |
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