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Updated: Sep 30, 2025

An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
Systemic risk-sharing framework of cryptocurrencies in the COVID-19 crisis
Md Akhtaruzzaman1, Sabri Boubaker2,3, Duc Khuong Nguyen4,5
1Peter Faber Business School, Australian Catholic University, Sydney, Australia.
Abstract:
We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID-19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID-19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods.
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