Nonlinear tail dependence in cryptocurrency-stock market returns : the role of Bitcoin futures
Year of publication: |
2021
|
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Authors: | Lahiani, Amine ; Jeribi, Ahmed ; Boukef Jlassi, Nabila |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 56.2021, p. 1-15
|
Subject: | BRICS | Cryptocurrency | Developed countries | Stock market | Tail dependence | Tail risk | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Aktienmarkt | Virtuelle Währung | Virtual currency | Ausreißer | Outliers | Entwicklungsländer | Developing countries | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure |
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