Naeem, Muhammad; Saleem, Kashif; Ahmed, Sheraz; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-21
We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins by using the EGARCH model for return...
