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Keywords: Multivariate GAS model
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Journal Articles
Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula: evidence from GAS models
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Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (4): 464–482.
Published: 31 May 2023
... (VaR) and expected shortfall (ES) analyses, the authors show that the multivariate GAS models produce accurate risk measures by adding cryptocurrencies to a portfolio of fiat currencies. Originality/value This paper has two main contributions to the existing literature on cryptocurrencies. First...
