This paper investigates the co-movement between cryptocurrencies and African stock returns to uncover their degree of … technique. Data span 10 August 2015 to 10 December 2021 at daily frequency. The results suggest high degrees of co-movement …

apply copulae to the estimation of the Value-at-Risk and the Expected Shortfall, and show that the Student-t copula with …This paper examines international equity market co-movements using time-varying copulae. We examine distributions from … Student-t assumption on marginals leads to the best performance, and thus, can be used to fit multivariate copula for the …

on linkages modeled by means of dynamic copula model and measured using Kendall's tau and the tail dependence …