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Tail-risk spillovers in cryptocurrency markets

Author

Listed:
  • Xu, Qiuhua
  • Zhang, Yixuan
  • Zhang, Ziyang

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.

Suggested Citation

  • Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s154461231930755x
    DOI: 10.1016/j.frl.2020.101453
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Cryptocurrency; CoVaR; Tail-risk; TENET; LASSO;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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