Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies

Wang, Ruting; Potì, Valerio; Härdle, Wolfgang Karl

doi:10.1080/14697688.2024.2370311

Quantitative Finance

2024

DOI: 10.1080/14697688.2024.2370311

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Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies

Ruting Wang,

Valerio Potì,

Wolfgang Karl Härdle

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Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies

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References 40 publications

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