Bitcoin vs. fiat currencies : insights from extreme dependence and risk spillover analysis with financial markets
Year of publication: |
2023
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Authors: | Abid, Ilyes ; Bouri, Elie ; Galariotis, Emilios ; Guesmi, Khaled ; Mzoughi, Hela |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-16
|
Subject: | Bitcoin | Copulas | CoVaR | Extreme dependence and risk spillovers | Fiat currencies | Financial markets | Price spillovers | Spillover-Effekt | Spillover effect | Finanzmarkt | Financial market | Theorie | Theory | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management |
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