Nekhili, Ramzi; Sultan, Jahangir - In: International Journal of Financial Studies : open … 8 (2020) 2/19, pp. 1-18
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in...
