Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies
Year of publication: |
2020
|
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Authors: | Tiwari, Aviral Kumar ; Adewuyi, Adeolu O. ; Albulescu, Claudiu Tiberiu ; Wohar, Mark E. |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 51.2020, p. 1-12
|
Subject: | Mixture copula | Risk contagion | Tail dependence | Cryptocurrencies | Full-range tail dependence copulas | Multivariate Verteilung | Multivariate distribution | Ansteckungseffekt | Contagion effect | Statistische Verteilung | Statistical distribution | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Ausreißer | Outliers | Finanzkrise | Financial crisis | Risikomanagement | Risk management |
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