Yang, Ronghai; Du, Linfeng - 2023
This paper compares and analyzes the tail risk spillover effects of four major cryptocurrencies (BTC, ETH, DOGE, and XRP) before and after the COVID-19 pandemic, empirical evidence based on the methodology of Diebold and Yilmaz (2012) and Baruník and Křehlík(2018) suggest three primary...