ScienceDirect Publication: Finance Research Letters
Wed, 05 Feb 2020 12:01:41 GMT language
Publication date: Available online 4 February 2020
Source: Finance Research Letters
Author(s): Qiuhua Xu, Yixuan Zhanga, Ziyang Zhang
This paper analyzes the tail-risk interdependence among 23 cryptocurrencies and identifies the systemically important cryptocurrencies using the TENET approach proposed by Fan et al. (2018) and finds that (i) significant risk spillover effect exists; (ii) the degree of the total connectedness of all the sampled cryptocurrencies increases steadily over time; (iii) Bitcoin is the largest systemic risk receiver; (iv) Ethereum is the largest systemic risk emitter.