RISK-ADJUSTED RETURNS AND SPILLOVER DYNAMICS AMONG EMERGING DIGITAL CURRENCIES

RISK-ADJUSTED RETURNS AND SPILLOVER DYNAMICS AMONG EMERGING DIGITAL CURRENCIES

This study investigates the interconnected dynamics among diverse digital currencies, specifically focusing on risk-adjusted returns, tail risks, dynamic spillovers, and portfolio implications. Unlike prior research, which typically examines individual digital currency classes separately or in limit...

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Bibliographic Details
Main Authors: Zaäfri Ananto Husodo, Md. Bokthiar Hasan, Humaira Tahsin Rafia, Masagus M. Ridhwan, Gazi Salah Uddin, Muhammad Budi Prasetyo
Format: Article
Language:English
Published: Bank Indonesia 2025-05-01
Series:Journal of Islamic Monetary Economics and Finance
Subjects:
digital currency, tail risks, dynamic spillovers, quantile var, portfolio management, islamic cryptocurrency, green cryptocurrency.
Online Access:https://jimf-bi.org/index.php/JIMF/article/view/2771
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