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On the factors of Bitcoin's value at risk

Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the … conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1 …% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively …

Persistent link: https://www.econbiz.de/10012798684

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin

Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1293-1311

Persistent link: https://www.econbiz.de/10012211636

Hedging capabilities of bitcoin : is it the virtual gold?

Dyhrberg, Anne Haubo - 2015

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in … investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock … Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby …

Persistent link: https://www.econbiz.de/10011348399

Hedging capabilities of bitcoin : is it the virtual gold?

Dyhrberg, Anne Haubo - In: Finance research letters 16 (2016), pp. 139-144

Persistent link: https://www.econbiz.de/10011655145

Holding Bitcoin longer : the dynamic hedging abilities of Bitcoin

Chan, Wing Hong; Le, Minh; Wu, Yan Wendy - In: The quarterly review of economics and finance : journal … 71 (2019), pp. 107-113

Persistent link: https://www.econbiz.de/10012175814

Cryptocurrency risks, fraud cases, and financial performance

Kerr, David S.; Loveland, Karen Ann; Smith, Katherine Taken - In: Risks : open access journal 11 (2023) 3, pp. 1-15

In this study, we examine major cryptocurrencies, present notable fraud cases, describe fraud risks, and analyze cryptocurrency financial performance. People debate whether cryptocurrency is an investment opportunity, the new Dutch Tulip Bubble, or a giant Ponzi scheme. There have been a number...

Persistent link: https://www.econbiz.de/10014246302

Bitcoin as an investment and hedge alternative : a DCC MGARCH model analysis

Rudolf, Karl Oton; El Zein, Samer Ajour; Jackman … - In: Risks : open access journal 9 (2021) 9, pp. 1-22

Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first … purpose of this applied mathematics study will use a multivariate DCC GARCH model. Bitcoin holds its ground in volatility …. This study examines Bitcoin as an investment and hedge alternative to gold as well as the major stock index. To perform the …

Persistent link: https://www.econbiz.de/10012612471

Computational dynamic market risk measures in discrete time setting

Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354

Persistent link: https://www.econbiz.de/10010476909

LASSO-based high-frequency return predictors for profitable Bitcoin investment

Huang, Weige; Gao, Xiang - In: Applied economics letters 29 (2022) 12, pp. 1079-1083

Persistent link: https://www.econbiz.de/10013412041