S. Hamrouni

Dependence of Extreme Values, VaR, and Contagion During the COVID-19 Period: Analysis Using the Copula-GARCH Approach

The present study investigates extreme co-movements and financial contagion across a broad set of global financial markets, including ten developed and emerging stock market indices, commodities (gold and oil), and cryptocurrencies (Bitcoin), over the period from January 2007 to...