Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
Year of publication: |
2021
|
---|---|
Authors: | Zhang, Yue-jun ; Bouri, Elie ; Gupta, Rangan ; Ma, Shu-Jiao |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 55.2021, p. 1-10
|
Subject: | Bitcoin | Asset classes | CAR-ARCHE | Downside risk spillover | Expectile VaR | Financial markets | Finanzmarkt | Financial market | Spillover-Effekt | Spillover effect | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Virtuelle Währung | Virtual currency | Volatilität | Volatility | Risikomanagement | Risk management |
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