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The literature often discusses the copula models to examine the digital market, thereby ripplee hidden into different categories and identifying that none of the series. Notably, all of these studies tail dependence in cryptocurrency returns.
Introduction The study of cross-asset dependence structure among financial variables has been a topic of considerable interest in the modern financial industry and academic circles, with a rich research history owing to its critical implications in portfolio-risk management Markowitz , technical and fundamental asset-trading strategies Vidyamurthy , regulatory policies for handling systemic financial risks Hartmann et al. The data exhibit negative skewness except for DOGE and significant excess kurtosis, while the Jarque�Bera JB test statistic Mantalos indicates that none of the series is unconditionally normal. Res Int Bus Finance For the other two liquidity measures, only weak or no tail-dependencies are mostly observed.
