Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of …, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to and the optimal … hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices …