Assessing the risk characteristics of the cryptocurrency market: A GARCH-EVT-Copula approach
Year of publication: |
2022
|
---|---|
Authors: | Bruhn, Pascal ; Ernst, Dietmar |
Published in: |
Journal of Risk and Financial Management. - ISSN 1911-8074. - Vol. 15.2022, 8, p. 1-28
|
Publisher: |
Basel : MDPI |
Subject: | risk management | cryptocurrencies | Copulas | cryptocurrency portfolio | extreme value theory | GARCH | GARCH-EVT |
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