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Tail Risk Measurement In Crypto-Asset Markets

Citations

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Cited by:

  1. Elie Bouri & Mahdi Ghaemi Asl & Sahar Darehshiri & David Gabauer, 2024. "Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
  2. Harris, Richard D.F. & Mazibas, Murat & Rambaccussing, Dooruj, 2024. "Bitcoin replication using machine learning," International Review of Financial Analysis, Elsevier, vol. 93(C).
  3. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  4. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
  5. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 1-13.
  6. Jalan, Akanksha & Matkovskyy, Roman, 2023. "Systemic risks in the cryptocurrency market: Evidence from the FTX collapse," Finance Research Letters, Elsevier, vol. 53(C).
  7. João Pedro M. Franco & Márcio Laurini, 2025. "Multivariate Risk Analysis in Cryptocurrency Market: An Optimal Transport Approach," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5257-5298, December.
  8. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
  9. Chen, Ning & Li, Shaofang & Tian, Sihua & Lu, Shuai, 2025. "Multidimensional risk connectedness among global systemically important financial institutions: A multilayer spillover network analysis," Economic Analysis and Policy, Elsevier, vol. 88(C), pages 529-556.
  10. Chi Keung Lau & Alaa M. Soliman & Dongna Zhang, 2024. "Energy Price Inflation, Geopolitical Risk, and Bitcoin Dependence Structure: Evidence from BRICS," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 60(12), pages 2631-2645, September.
  11. Babaei, Golnoosh & Giudici, Paolo & Raffinetti, Emanuela, 2022. "Explainable artificial intelligence for crypto asset allocation," Finance Research Letters, Elsevier, vol. 47(PB).
  12. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
  13. Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
  14. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
  15. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
  16. González-Sánchez, Mariano & Nave Pineda, Juan M., 2023. "Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement," International Review of Financial Analysis, Elsevier, vol. 86(C).
  17. Atasoy, Burak Sencer & Özkan, İbrahim & Erden, Lütfi, 2024. "The determinants of systemic risk contagion," Economic Modelling, Elsevier, vol. 130(C).
  18. Rama Siva Sarwari Mallela & Manuele Leonelli, 2026. "Crashing Together, Rallying Apart: Dynamic Conditional Tail Dependence in Cryptocurrency Markets," Papers 2606.16840, arXiv.org.
  19. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
  20. Hassan Javed & Naveed Khan, 2025. "Do Bitcoin Shocks Dominate Other Cryptocurrencies? An Examination Through GARCH Based Dynamic Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(4), pages 1431-1457, December.
  21. Fakhfekh, Mohamed & Bejaoui, Azza & Bariviera, Aurelio F. & Jeribi, Ahmed, 2024. "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  22. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
  23. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
  24. Bojaj, Martin M. & Muhadinovic, Milica & Bracanovic, Andrej & Mihailovic, Andrej & Radulovic, Mladen & Jolicic, Ivan & Milosevic, Igor & Milacic, Veselin, 2022. "Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach," Economic Modelling, Elsevier, vol. 109(C).
  25. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
  26. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  27. Franco, João Pedro M. & Laurini, Márcio P., 2025. "Quantifying systemic risk in cryptocurrency markets: A high-frequency approach," International Review of Economics & Finance, Elsevier, vol. 102(C).
  28. Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2022. "Crypto Asset Portfolio Selection," FinTech, MDPI, vol. 1(1), pages 1-9, February.
  29. Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
  30. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
  31. Adrián F. Rossignolo, 2024. "Basel IV and the structural relationship between SA and IMA," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 19(2), pages 1-37, Abril - J.
  32. Shahzad, Syed Jawad Hussain & Bouri, Elie & Karim, Sitara & Sadorsky, Perry, 2025. "A partial correlation-based connectedness approach: Extreme dependence among commodities and portfolio implications," Energy Economics, Elsevier, vol. 144(C).
  33. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
  34. Levantesi, Susanna & Piscopo, Gabriella & Rotundo, Giulia, 2026. "Core–periphery analysis of risk dependence among cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 697(C).
  35. Nader Naifar, 2025. "Mapping Systemic Tail Risk in Crypto Markets: DeFi, Stablecoins, and Infrastructure Tokens," JRFM, MDPI, vol. 18(6), pages 1-23, June.
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