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Are cryptocurrencies contagious to Asian financial markets?
Handika, Rangga; Soepriyanto, Gatot; Havidz, Shinta … - In: Research in international business and finance 50 (2019), pp. 416-429
Persistent link: https://www.econbiz.de/10012177757
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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR …), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation … volatility clustering, skewness, and kurtosis. The results reveal that the CoVaR estimates vary based on portfolio strategy, with …
Persistent link: https://www.econbiz.de/10014532413
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Global systemic risk measures and their forecasting power for systemic events
Grundke, Peter; Tuchscherer, Michael - In: The European journal of finance 25 (2019) 3, pp. 205-233
Persistent link: https://www.econbiz.de/10012206970
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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
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Pandemic crises in financial systems : a simulation-model to complement stresstesting frameworks
Idier, Julien; Piquard, Thibaut - 2017
Persistent link: https://www.econbiz.de/10011647278
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Cryptocurrency spectrum and 2020 pandemic : contagion analysis
Okorie, David Iheke; Lin, Boqiang - In: International review of economics & finance : IREF 84 (2023), pp. 29-38
Persistent link: https://www.econbiz.de/10014342986
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Crisis and contagion in cryptocurrency market
Garg, Bhavesh; Rai, Karan; Pachoriya, Rishabh; Thappa, Manik - In: Bulletin of monetary economics and banking 26 (2023), pp. 9-32
Persistent link: https://www.econbiz.de/10014266366
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COVID-19 and tail risk contagion across commodity futures markets
Qiao, Tongshuai; Han, Liyan - In: The journal of futures markets 43 (2023) 2, pp. 242-272
Persistent link: https://www.econbiz.de/10014293014
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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No safe haven, only diversification and contagion : intraday evidence around the COVID-19 pandemic
Bei, Zeyun; Lin, Juan; Zhou, Yinggang - In: Journal of international money and finance 143 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014551362