Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Waqas Hanif, Jose Areola Hernandez, Victor Troster, Sang Hoon Kang, Seong-Min Yoon
| Year of publication: |
2022
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|---|---|
| Authors: | Hanif, Waqas ; Areola Hernandez, Jose ; Troster, Victor ; Kang, Sang Hoon ; Yoon, Seong-min |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 74.2022, p. 1-30
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| Subject: | Conditional value-at-risk | Copula | Cryptocurrency | Equity market | Nonlinear dependence | Spillover | Virtuelle Währung | Virtual currency | Aktienmarkt | Stock market | Spillover-Effekt | Spillover effect | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Internationaler Finanzmarkt | International financial market | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2022.101822 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013389474