Abstract
ABSTRACT This study analyzes the dependence structures of eight leading decentralized finance tokens using the GARCH-EVT-Copula models. The empirical results indicated that the dependencies between DeFi tokens and Bitcoin and Ethereum were positive and time-varying. DeFi tokens demonstrated a stronger association with Ethereum than with Bitcoin. DeFi tokens were found to exhibit weaker lower tail dependencies, revealing the unique feature of DeFi tokens in reducing extreme downside risks and enhancing portfolio diversification.
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