This paper examines the movement of cryptocurrencies' return based on price. This volatility can spread to others of the same kind. Currently, the more cryptocurrencies are traded in market, the more chances are available for investors. The author wonders whether contagion risk among these...

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the existing value at risk (VaR)-implied correlation....