Value-at-Risk and Expected Shortfall for the major digital currencies

Preprint English OPEN
Stavroyiannis, Stavros;
(2017)
  • Subject: Quantitative Finance - Risk Management

Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major digital currencies, Bitcoin, Ethe... View more
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