Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD
Understanding the dependence and risk spillover among hedging assets is crucial for portfolio allocation and regulatory decision making. Using various copula and conditional Value-at-Risk (CoVaR) measures, this paper quantifies the dependence and risk spillover effects between three traditional and...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2021/2010705 |
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