Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies.
(2023)
Journal Article
In this paper, we investigate the co-dependence and portfolio value-at-risk of cryptocurrencies, with the Bitcoin, Ethereum, Litecoin and Ripple price series from January 2016 to December 2021, covering the crypto crash and pandemic period, using the... Read More about Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies..