Open AccessDependence structure between index stock market and bitcoin using time-varying copula and extreme value theory
Author(s) -
Saiful Izzuan Hussain,
Nadiah Ruza,
Nurulkamal Masseran,
Muhammad Aslam Mohd Safari
Publication year - 2020
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/5.0018079
Subject(s) - copula (linguistics) , diversification (marketing strategy) , stock market , extreme value theory , tail dependence , cryptocurrency , econometrics , stock market index , financial market , financial economics , economics , business , computer science , finance , multivariate statistics , statistics , mathematics , geography , context (archaeology) , computer security , archaeology , marketing
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