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• W3197833679 abstract "We investigate the tail risk spillover effects between cryptocurrencies and conventional assets from a systemic risk perspective, by constructing a large tail-event driven network. The results provide strong evidence for the existence of tail-risk spillovers, which challenges most literature stating the detachment of Bitcoin from traditional assets. Moreover, this paper finds two significant network factors in explaining the return of cryptocurrencies. Specifically, the risk contagion occurs under extreme market conditions, while the network diversification happens only when the market is under distress. Further sub-market analysis finds that cryptocurrencies are impacted more than stocks by the massive selloff during bear markets." @default.
• W3197833679 created "2021-09-13" @default.
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• W3197833679 date "2022-05-01" @default.
• W3197833679 modified "2023-10-17" @default.
• W3197833679 title "Tail-event driven network of cryptocurrencies and conventional assets" @default.
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• W3197833679 doi "https://doi.org/10.1016/j.frl.2021.102424" @default.
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