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Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas

1
School of Banking, University of Economics Ho Chi Minh City, Ho Chi Minh City 700000, Vietnam
2
WHU—Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar, Germany
J. Risk Financial Manag. 2019, 12(2), 52; https://doi.org/10.3390/jrfm12020052
Received: 1 March 2019 / Revised: 21 March 2019 / Accepted: 21 March 2019 / Published: 1 April 2019
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
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Abstract

This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural Vector Autoregressive Model) Granger causality and Student’s-t Copulas, we find that Ethereum is likely to be the independent coin in this market, while Bitcoin tends to be the spillover effect recipient. Our study sheds further light on investigating the contagion risks among cryptocurrencies by employing Student’s-t Copulas for joint distribution. This result suggests that all coins negatively change in terms of extreme value. The investors are advised to pay more attention to ‘bad news’ and moving patterns in order to make timely decisions on three types (buy, hold, and sell). View Full-Text
Keywords: Bitcoin; cryptocurrency; spillover risks; Copulas; Student’s-t Bitcoin; cryptocurrency; spillover risks; Copulas; Student’s-t
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Luu Duc Huynh, T. Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas. J. Risk Financial Manag. 2019, 12, 52.

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