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Paper / 2024SMQ / 260170160832863
Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches
Amirhossein Karamoozian / Shafique Ur Rehman / Touqeer Ahmad / Wu Dash Desheng
copulas / cryptocurrenciesResource overview

Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches

Paper2024

by Amirhossein Karamoozian, Shafique Ur Rehman, Touqeer Ahmad, Wu Dash Desheng

Tags
copulascryptocurrenciesextreme value theorygarchtail risk

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  2. Expected Shortfall and Other Tail Risk Measures

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