Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...

To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS-C-MGARCH) model of Fülle and Herwartz (2021). As an...