Similar Search Results

Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis

Akhtaruzzaman, Md.; Boubaker, Sabri; Nguyen, Duc Khuong; … - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553894

Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012659682

Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration

Tan, Zhengxun; Huang, Yilong; Xiao, Binuo - In: Research in international business and finance 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013266119

On the factors of Bitcoin's value at risk

Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the … conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1 …% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively …

Persistent link: https://www.econbiz.de/10012798684

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

Persistent link: https://www.econbiz.de/10014532413

Can cryptocurrencies be a safe haven : a tail risk perspective analysis

Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762

Persistent link: https://www.econbiz.de/10012061627

From cash to private and public digital curencies : the risk of financial instability and "modern monetary Middle ages"

Belke, Ansgar; Beretta, Edoardo - In: Economics and Business Letters : EBL 9 (2020) 3, pp. 189-196

Persistent link: https://www.econbiz.de/10012420668

Cryptocurrencies as financial bubbles : the case of Bitcoin

Geuder, Julian; Kinateder, Harald; Wagner, Niklas F. - In: Finance research letters 31 (2019), pp. 179-184

Persistent link: https://www.econbiz.de/10012421283

Is the introduction of futures responsible for the crash of Bitcoin?

Liu, Ruozhou; Wan, Shanfeng; Zhang, Zili; Zhao, Xuejun - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436942

Uncertainty and risk in the cryptocurrency market

Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the … entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …

Persistent link: https://www.econbiz.de/10013475240