Revisiting Volatility Tail Codependency in Cryptocurrency Markets

Author
João Pedro Malim Franco
Co-authors
Pedro Luiz Paolino Chaim
Abstract
In this paper we investigate how tail codependency and systemic risk between the two major cryptocurrencies (Bitcoin and Ethereum) and two traditional assets (the S&P500 index and Gold) evolved before and after the Covid-19 pandemic. Using a quantile regression framework and a selected set of macroeconomic state variables we compute CoVaR and ?CoVaR measures. Our results suggest cryptocurrencies display increased shock transmission and systemic vulnerability in the post Covid-19 period.
Keywords
Bitcoin; Cryptocurrencies; Tail-Risk; Safe Haven; CoVaR
Subject Area
Econometrics and Numerical Methods

Back Download

Reference

FRANCO, João Pedro Malim; CHAIM, Pedro Luiz Paolino. Revisiting Volatility Tail Codependency in Cryptocurrency Markets. In: XXIII Encontro Brasileiro de Finanças - Universidade Presbiteriana Mackenzie (São Paulo - SP), 2023. Available in: <https://doity.com.br/anais/23ebfin/trabalho/277341>. Available in: 22/04/2025 at 01:24

Asset pricing, investments, and Derivatives
Corporate Finance, Intermediation, and Banking
Econometrics and Numerical Methods

Comissão Organizadora

Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva