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  • Search: subject:"Extreme quantile connectedness"
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Cryptocurrencies 1 Extreme quantile connectedness 1 Nonfungible tokens 1 Portfolio selection 1 Portfolio-Management 1 TVP-VAR approach 1 Time-varying parameter vector autoregression 1 VAR model 1 VAR-Modell 1 Virtual currency 1 Virtuelle Währung 1
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Al-Yahyaee, Khamis Hamed 1 Gubareva, Mariya 1 Kang, Sang Hoon 1 Mensi, Waild 1 Teplova, Tamara 1
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Financial innovation : FIN 1
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ECONIS (ZBW) 1
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Extreme connectedness between cryptocurrencies and non-fungible tokens : portfolio implications
Mensi, Waild; Gubareva, Mariya; Al-Yahyaee, Khamis Hamed; … - In: Financial innovation : FIN 10 (2024), pp. 1-27
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for diferent quantiles employing a time-varying parameter vector autoregression approach. We fnd that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness...
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