Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach
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- Karimi, Parinaz & Mirzaee Ghazani, Majid & Ebrahimi, Seyed Babak, 2023. "Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods," Resources Policy, Elsevier, vol. 85(PB).
- Thabani Ndlovu & Delson Chikobvu, 2024. "The GARCH-EVT-Copula Approach to Investigating Dependence and Quantifying Risk in a Portfolio of Bitcoin and the South African Rand," JRFM, MDPI, vol. 17(11), pages 1-16, November.
- Dietmar Ernst & Werner Gleißner, 2022. "Paradigm Shift in Finance: The Transformation of the Theory from Perfect to Imperfect Capital Markets Using the Example of Company Valuation," JRFM, MDPI, vol. 15(9), pages 1-13, September.
- Dietmar Ernst, 2023. "Risk Measures in Simulation-Based Business Valuation: Classification of Risk Measures in Risk Axiom Systems and Application in Valuation Practice," Risks, MDPI, vol. 11(1), pages 1-14, January.
- Paula Sarabando & Roge rio Matias & Pedro Vasconcelos & Tiago Miguel, 2023. "Financial literacy of Portuguese undergraduate students in polytechnics: does the area of the course influence financial literacy?," Journal of Economic Analysis, Anser Press, vol. 2(2), pages 96-113, April.
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Keywords
cryptocurrencies; extreme value theory; GARCH; Copulas; cryptocurrency portfolio; GARCH-EVT; risk management;All these keywords.
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