collaborators

1 paper

q-fin.RM2024

Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches

Shafique Ur Rehman, Touqeer Ahmad, Wu Dash Desheng +1

This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, ex…