Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market
Gideon Boako, Aviral Kumar Tiwari, David Roubaud
| Year of publication: |
2019
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|---|---|
| Authors: | Boako, Gideon ; Tiwari, Aviral Kumar ; Roubaud, David |
| Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 2110-7017, ZDB-ID 1232628-8. - Vol. 158.2019, p. 77-90
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| Subject: | Cryptocurrency | Dependence | Value-at-risk | Vine copula | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection |
| Description of contents: | Description [sciencedirect.com] ; Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 165, May 2021, Seite 279-281 Erratum enthalten in: Volume 176, December 2023, Seite 1-4 |
| Other identifiers: | 10.1016/j.inteco.2019.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012318740