After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...

We consider pairwise tail behavior of return series for identifying most important emerging markets clusters. Pairs of markets belonging to the same group present similar type and strength of interdependence during stressful times, represented by a common copula and a statistically equivalent...

After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...