The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of …

The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While … test, which retains good power properties. In an empirical application using eleven of the largest cryptocurrencies and the …

This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze … the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM … for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a …

Cryptocurrencies are gaining momentum in investor attention, are about to become a new asset class, and may provide a … between the cryptocurrencies not only for risk management but also for portfolio optimization. The tail risk network analysis …