A Study of Tail-risk Spillovers in Cryptocurrency Markets
Published online on March 10, 2022
Abstract
Global Business Review, Ahead of Print.
This study is an extension of the work byXu et al. (2021,Finance Research Letters, vol. 38, p. 101453). We analyse tail-risk spillovers among 63 cryptocurrencies and identify systemically important cryptocurrencies using a Tail-Event driven NETwork (...
This study is an extension of the work byXu et al. (2021,Finance Research Letters, vol. 38, p. 101453). We analyse tail-risk spillovers among 63 cryptocurrencies and identify systemically important cryptocurrencies using a Tail-Event driven NETwork (...