Tail-risk spillovers in cryptocurrency markets

Qiuhua Xu, Yixuan Zhang and Ziyang Zhang

Finance Research Letters, 2021, vol. 38, issue C

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 (search for similar items in EconPapers)
JEL-codes: C58 G12 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s154461231930755x

DOI: 10.1016/j.frl.2020.101453

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