in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non … found that the uncertainty due to the estimation risk can be quite accurately estimated employing the delta method. In an …

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … detailed comparative analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both …