Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach
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- Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
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Keywords
cryptocurrency; speculative bubble; conditional value-at-risk; asymmetric loss function; asymmetry; leptokurticity; tail dependence; elliptical copula;All these keywords.
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