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Assessing Portfolio Risks Involving Bitcoin and Ethereum Using Vector Autoregressive Model

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  • Andrei-Dragos Popescu

    (University of Craiova)

Abstract

Investors now have a multitude of non-traditional assets to choose from, especially from the spectrum of alternative assets, such as financial digital assets. We start from the premise that there is a high risk associated with investing in financial digital assets, along with the opportunities presented from these emerging digital markets that evolve in a decentralized environment. We will be looking at the two major digital assets, specifically Bitcoin (BTC) and Ethereum (ETH), as per their dominance within the markets of crypto assets. This paper will focus on the evolution of financial digital assets and the impact on portfolio assessment that have allocations for BTC and ETH. In order to identify the value and potential of these financial digital assets, we will be addressing volatility and portfolio risks by means of a Vector Autoregression model on the returns of both, BTC and ETH.

Suggested Citation

  • Andrei-Dragos Popescu, 2021. "Assessing Portfolio Risks Involving Bitcoin and Ethereum Using Vector Autoregressive Model," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1101-1109, December.
    • Handle: RePEc:ovi:oviste:v:xxi:y:2021:i:2:p:1101-1109
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    References listed on IDEAS

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    More about this item

    Keywords

    financial digital assets; volatility; portfolio risk;
    All these keywords.

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F01 - International Economics - - General - - - Global Outlook
    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy

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