Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach
(2020)
Journal Article
Nguyen, L. H., Chevapatrakul, T., & Yao, K. (2020). Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. Journal of Empirical Finance, 58, 333-355. https://doi.org/10.1016/j.jempfin.2020.06.006
© 2020 Elsevier B.V. We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression. We capture important features of the network, including... Read More about Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach.