Core–periphery analysis of risk dependence among cryptocurrencies

The paper aims at analyzing the dynamics of the core–periphery structure of tail risk dependence among 221 cryptocurrencies in the period Jan. 1st, 2022–Nov. 21st, 2025. From a methodological perspective, the paper proposes an integrated framework that combines breakpoint detection, CoVaR estimation, dynamic network construction, and spectral core periphery analysis to study the transmission of systemic tail risk in cryptocurrency markets. While most existing studies focus on static dependence structures, pairwise spillovers, or traditional centrality measures, our approach allows us to track how the core periphery structure changes over time and across different market regimes. From a theoretical point of view, the paper contributes to a better understanding of how systemic importance evolves in cryptocurrency markets. Our findings show that the market does not change gradually, but rather moves through distinct structural phases, each characterized by a different configuration of core and peripheral assets. The results point out that, across all periods, the core tends to follow a recurring pattern of expansion, consolidation, peak, and divergence. This highlights how the role of cryptocurrencies within the overall risk structure changes over time, with some assets becoming more central during periods of market stress and others moving back to the periphery. Identifying the cryptocurrencies that consistently belong to the core can be useful for risk management, since these assets are more likely to spread shocks during periods of market stress. Distinguishing between core and peripheral assets may also help investors identify better diversification opportunities, while from a regulatory perspective it may support the monitoring of cryptocurrencies that are becoming increasingly important for overall market stability.