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

作　　者：Aktham Maghyereh Salem Adel Ziadat 

机构地区：[1]Department of Accounting and Finance,United Arab Emirates University,Al Ain,United Arab Emirates [2]Faculty of Business,Al-Ahliyya Amman University Jordan,Amman,Jordan [3]Division of Accounting and Finance,University of Stirling,Stirling,UK

出　　处：《Financial Innovation》2024年第1期2227-2260,共34页金融创新(英文)

摘　　要：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.

关 键 词：Tail-risk connectedness Cryptocurrency CAVIAR TVP-VAR PREDICTABILITY 

分 类 号：F41[经济管理—产业经济]