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Persistent link: https://www.econbiz.de/10011822832
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing...
Persistent link: https://www.econbiz.de/10014497426