Christodoulou-Volos, Christos - In: Risks : open access journal 13 (2025) 9, pp. 1-19
This study examines the use of Filtered Historical Simulation (FHS) to estimate tail risk in cryptocurrency markets for the optimization of robustness in this area under model misspecification. An ARMA-GARCH model is employed on the daily returns on Binance Coin and Litecoin in order to compare...