Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach
| Author: | Pascal BruhnORCiD, Dietmar ErnstORCiD |
|---|---|
| DOI: | https://doi.org/10.3390/jrfm15080346 |
| URL: | https://www.mdpi.com/1911-8074/15/8/346 |
| ISSN/eISSN: | 1911-8074 |
| Parent Title (English): | Journal of Risk and Financial Management |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2022/08/05 |
| Publishing Institution: | Hochschule Nürtingen-Geislingen |
| Release Date: | 2022/09/23 |
| Tag: | Copulas; GARCH; GARCH-EVT; cryptocurrencies; cryptocurrency portfolio; extreme value theory; risk management |
| Volume: | 15 |
| Issue: | 8 |
| Article Number: | 346 |
| Page Number: | 28 |
| Institutes: | Fakultät Betriebswirtschaft und Internationale Finanzen |
| open access: | ja |
| Licence (German): |  Creative Commons - CC BY - Namensnennung 4.0 International |