Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis
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DOI: 10.1016/j.frl.2022.102787
Abstract: We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID–19 period, indicating evidence of pandemic-driven… read more here.
Keywords: risk; risk sharing; framework cryptocurrencies; systemic risk ... See more keywords