Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations

Given the increasing interest in cryptocurrencies shown by investors and researchers, and the importance of the potential loss scenarios resulting from investment/trading activities, this research provides market operators with a dynamic overview on the short-term portfolio tail risk contribution of...

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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 34-2020)
Main Authors: Jeleskovic, Vahidin, Meloni, Mirko, Younas, Zahid Irshad
Format: Article
Language:English
Published: 2020
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Online Access:PDF Full Text
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