Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes

Autor:	Aktham Maghyereh, Salem Adel Ziadat
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	Tail-risk connectedness Cryptocurrency CAViaR TVP-VAR Predictability Public finance K4430-4675 Finance HG1-9999
Zdroj:	Financial Innovation, Vol 10, Iss 1, Pp 1-34 (2024)
Druh dokumentu:	article
ISSN:	2199-4730
DOI:	10.1186/s40854-023-00592-1
Popis:	Abstract The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncertainty can predict tail risk interconnectedness. Combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the time-varying parameter vector autoregressive (TVP-VAR) approach shows that the transmission of tail risks among cryptocurrencies changes dynamically over time. During crises and significant events, transmission bursts and tail risks change. Based on both in- and out-of-sample forecasts, we find that the information contained in investor sentiment, economic conditions, and uncertainty includes significant predictive content about the tail risk connectedness of cryptocurrencies.
Databáze:	Directory of Open Access Journals
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