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Vulnerability-CoVaR: investigating the crypto-market - MaRDI portal

Vulnerability-CoVaR: investigating the crypto-market (Q5039634)

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scientific article; zbMATH DE number 7595445
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English
Vulnerability-CoVaR: investigating the crypto-market
scientific article; zbMATH DE number 7595445

    Statements

    title
    Vulnerability-CoVaR: investigating the crypto-market (English)
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    author
    Martin Waltz
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    Abhay Kumar Singh
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    Ostap Okhrin
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    publication date
    30 September 2022
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    Mathematics Subject Classification ID
    91G70
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    91G45
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    62H05
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    zbMATH DE Number
    7595445
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    zbMATH Keywords
    copula
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    conditional value-at-risk
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    cryptocurrency
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    systemic risk
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    describes a project that uses
    HAC
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    CopulaModel
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    copula
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    copula
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    Rugarch
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    OpenAlex ID
    W4225292326
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    arXiv ID
    2203.10777
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