Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36
volatility clustering, skewness, and kurtosis. The results reveal that the CoVaR estimates vary based on portfolio strategy, with … higher values for the cryptocurrency portfolio. However, CoVaR appears relatively robust across strategies compared to ΔCoVaR …. The cryptocurrency portfolio has a greater overall vulnerability. The fndings demonstrate the value of CoVaR estimated via …