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Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
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Bitcoin returns and risk : a general GARCH and GAS analysis
Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193
Persistent link: https://www.econbiz.de/10012420417
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Impact of oil price risk on sectoral equity markets : implications on portfolio management
Tiwari, Aviral Kumar; Jena, Sangram Keshari; Mitra, Amarnath - In: Energy economics 72 (2018), pp. 120-134
Persistent link: https://www.econbiz.de/10011972290
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Systemic risk spillovers between crude oil and stock index returns of G7 economies : conditional value-at-risk and marginal expected shortfall approaches
Tiwari, Aviral Kumar; Trabelsi, Nader; Alqahtani, Faisal; … - In: Energy economics 86 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012512191
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Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies
Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012659682
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Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307
Persistent link: https://www.econbiz.de/10012649582
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Modelling the dynamics of Bitcoin and Litecoin : GARCH versus stochastic volatility models
Tiwari, Aviral Kumar; Kumar, Satish; Pathak, Rajesh - In: Applied economics 51 (2019) 37, pp. 4073-4082
Persistent link: https://www.econbiz.de/10012196960
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Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model
Shi, Yongjing; Tiwari, Aviral Kumar; Gozgor, Giray; Lu, Zhou - In: Research in international business and finance 53 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012549821
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The connectedness in the world petroleum futures markets using a Quantile VAR approach
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Abakah, … - In: Journal of commodity markets 27 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014276628
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Quantile risk spillovers between energy and agricultural commodity markets : evidence from pre and during COVID-19 outbreak
Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 113 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013540565