Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors
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DOI: 10.1016/j.econmod.2019.05.016
Abstract: Abstract Cryptocurrencies are gradually establishing themselves as a new class of assets with unique features, although there remains skepticism and a lack of understanding of their nature. In this study, we compare the financial properties… read more here.
Keywords: cryptocurrencies conventional; conventional assets; relationship; financial investors ... See more keywords
Tail-event driven network of cryptocurrencies and conventional assets
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102424
Abstract: Abstract We investigate the tail risk spillover effects between cryptocurrencies and conventional assets from a systemic risk perspective, by constructing a large tail-event driven network. The results provide strong evidence for the existence of tail-risk… read more here.
Keywords: network; event driven; cryptocurrencies conventional; tail event ... See more keywords