Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23
We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE … explored which model specification and distributional innovation could best capture the tail risk in these assets. Using the … VaR and other risk metrics, we showed that there is no superior model/metric for capturing tail risk. We found that, for …