Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets
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DOI: 10.1016/j.frl.2019.101425
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- Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
- Abdulaziz S. Alghamdi & M. M. Abd El-Raouf, 2023. "A New Alpha Power Cosine-Weibull Model with Applications to Hydrological and Engineering Data," Mathematics, MDPI, vol. 11(3), pages 1-25, January.
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- Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
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More about this item
Keywords
Two-sided Weibull distribution; Portfolio Value-at-Risk; Volatility; Cryptocurrency markets;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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