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