Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage11en_US
dc.citation.spage1
dc.citation.volumeNumber55
dc.contributor.authorMalek, Jiri
dc.contributor.authorNguyen, Duc Khuong
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorTran, Quang Van
dc.date.accessioned2024-03-15T12:47:06Z
dc.date.available2024-03-15T12:47:06Z
dc.date.issued2023-03-30
dc.departmentDepartment of Management
dc.description.abstractWe employ alpha-stable distribution to dynamically compute risk exposure measures for the five most traded cryptocurrencies. Returns are jointly modeled with an ARMA-GARCH approach for their conditional mean and variance processes with alpha-stable innovations. We use the MLE method to estimate the parameters of this distribution, along with those of conditional mean and variance. Our results show that the dynamic approach is superior to the static method. We also find out that these risk measures of five cryptocurrencies do not offer the same pattern of behavior across subperiods (i.e., pre-, during- and post-COVID pandemic).
dc.description.provenanceMade available in DSpace on 2024-03-15T12:47:06Z (GMT). No. of bitstreams: 1 Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations.pdf: 760815 bytes, checksum: 092b0d00af6abca88035e2be53ba4eca (MD5) Previous issue date: 2023-03-30en
dc.embargo.release2025-03-30
dc.identifier.doi10.1016/j.frl.2023.103817
dc.identifier.eissn1544-6131
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/11693/114807
dc.language.isoen
dc.publisherAcademic Press
dc.relation.isversionofhttps://doi.org/10.1016/j.frl.2023.103817
dc.rightsCC BY-NC-ND 4.0 DEED (Attribution-NonCommercial-NoDerivs 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source.titleFinance Research Letters
dc.subjectAlpha stable distribution
dc.subjectARMA-GARCH
dc.subjectCryptocurrencies
dc.subjectDynamic VaR and CVaR
dc.subjectCOVID-19
dc.titleModeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
dc.typeArticle

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