Extreme downside risk transmission between green cryptocurrencies and energy markets : the diversification benefits
Year of publication: |
2023
|
---|---|
Authors: | Naeem, Muhammad Abubakr ; Nguyen Thi Thu Ha ; Sitara Karim ; Lucey, Brian M. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-11
|
Subject: | CAViaR | Energy markets | Green cryptocurrencies | Tail risk spillovers | TVP-VAR | Energiemarkt | Energy market | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect |
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