Tail-risk spillovers in cryptocurrency markets

【Author】 Xu, Qiuhua; Zhang, Yixuan; Zhang, Ziyang

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper analyzes the tail-risk interdependence among 23 cryptocurrencies and identifies the systemically important cryptocurrencies using the TENET approach proposed by Fan et al. (2018) and finds that (i) significant risk spillover effect exists; (ii) the degree of the total connectedness of all the sampled cryptocurrencies increases steadily over time; (iii) Bitcoin is the largest systemic risk receiver; (iv) Ethereum is the largest systemic risk emitter.

【Keywords】Cryptocurrency; CoVaR; Tail-risk; TENET; LASSO

【发表时间】2021 JAN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--