Since the financial crisis, risk management has been of growing interest to investors and the
approach of Value-at-Risk has gained wide acceptance. Investing in Cryptocurrencies …

In recent years, the cryptocurrency market has been experiencing extreme market stress due
to unexpected extreme events such as the COVID-19 pandemic, the Russia and Ukraine …

This paper establishes a brand-new perspective of analyzing the risk of crypto assets
through a semi-nonparametric approach, discussing its theoretical advantages and testing …

Several procedures to forecast daily risk measures in cryptocurrency markets have been
recently implemented in the literature. Among them, long‐memory processes, procedures …

Cryptocurrency has become an increasingly important tool in both portfolio investment and
government regulation. As a relatively new asset class, cryptocurrencies are prone to …

Due to conclusion could not rely on only one test, in this study, we apply various approaches
to verify the actuary of VaR model to find out whether VaR model, especially historical VaR …

Metaverses have been evolving following the popularity of blockchain technology. They
build their own cryptocurrencies for transactions inside their platforms. These new …

Abstract We forecast the Range Value at Risk (RVaR) of main cryptocurrencies using the
GARCH model with different error distributions. We compare the performance of the different …

In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by
computing their probability of death using the daily range. Unlike conventional low …

Cryptocurrencies are one of the most promising financial innovations of the last decade.
Different from major stock indices and the commodities of gold and crude oil, the …