Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches

This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and investigate the dynamics of risk spillover. We employ a hybrid approach to derive these risk measures that integrate GARCH models, extreme value models, and copula functions. This framework uses a bivariate portfolio approach involving cryptocurrency data and tr...