This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric...

In this paper we propose a portfolio selection procedure specifically designed to protect investments during financial crisis periods. To this aim, we focus attention on the lower tails of the returns distributions and use a combination of statistical tools able to take into account the joint...

In this paper we propose a portfolio selection procedure specifically designed to protect investments during financial crisis periods. To this aim, we focus attention on the lower tails of the returns distributions and use a combination of statistical tools able to take into account the joint...