Cryptocurrencies (CCs) become more interesting for institutional investors’ strategic asset allocation and will be a fixed component of professional portfolios in future. This asset class differs from established assets especially in terms of the severe manifestation of statistical parameters....

This paper evaluates and assesses the risk associated with capital allocation in cryptocurrencies (CCs). In this regard, we take a basket of 27 CCs and the CC index EWCI− into account. After considering a series of statistical tests we find the stable distribution (SDI) to be the most...

Purpose: This paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random number with its own distribution. This distribution is first determined and then it is shown how the accuracy of the...

In this article, we analyze initial public offerings on the Shanghai Stock Exchange (SSE) from 2001 to 2011 to investigate underpricing and long-term performance in the Chinese IPO market. Multi-linear OLS regressions are applied to 332 IPOs of A-shares for which the necessary data were...