model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk …

model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk …

cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and …

We investigate the behaviour of cryptocurrencies' return data. Using return data for bitcoin, ethereum and ripple which … Maximum Likelihood Method proposed by DuMouchel (1971) produces estimates that fit the cryptocurrency return data much better … results show that the leptokurtic feature presented in cryptocurrency return data can be captured by an α-stable distribution …

The price of cryptocurrency Bitcoin has risen sharply over the past ten years, with many investors adding Bitcoin to … their portfolios, benefitting from price increases and diversifying their investments. But is Bitcoin suitable for this … purpose? This Weekly Report examines the extent to which Bitcoin, like gold, can contribute to the diversification of an …

price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the … impact depends on trade size. Asset price bubbles are generated by the existence of trading constraints, e.g. short sale … stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized intertemporal and …

price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the … impact depends on trade size. Asset price bubbles are generated by the existence of portfolio constraints, e.g. short sale …-return relation for the stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized …

model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and consider … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk …