Zhang, Mianmian; Zhu, Bing; Li, Ziyuan; Jin, Siyuan; … - In: Financial innovation : FIN 10 (2024), pp. 1-30
return on and liquidity of the six cryptocurrencies. Our analysis reveals strong cross-asset lower-tail dependence in return … and signifcant cross-asset upper-tail dependence in illiquidity measures, with more pronounced dependence observed in …