Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach by Arief Hakim, Khreshna Syuhada

“…Using a corresponding Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto markets and towards the S&P 500, oil, and gold, which was more apparent during the COVID-19 period encompassing the recent 2021 crypto bubble event.…”
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