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Keywords: Systemic risk
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Journal Articles
International Journal of Managerial Finance (2023) 19 (4): 772–802.
Published: 26 August 2022
... comprehensive analyses of the dependency dynamics, systemic risk and volatility spillover between major East Asian stock and Bitcoin markets. The authors employ a vine-copula-CoVaR framework and a VAR-BEKK-GARCH method with a Wald test. Findings (a) With exception of KS11 and N225; HSI and SSE; HSI and KS11...
