On the factors of Bitcoin’s value at risk
Abstract 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 B...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
SpringerOpen
2021-11-01
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| coleção: | Financial Innovation |
| Assuntos: | |
| Acesso em linha: | https://doi.org/10.1186/s40854-021-00297-3 |
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