normality of the portfolio returns leads to the underestimation of portfolio risk. Cryptocurrencies are a decentralized digital … reveal a very high excess kurtosis and skewness for returns of cryptocurrencies. In order to incorporate larger skewness and … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A …

case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were …

Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity … among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently … apply these models to five of some of the largest market capitalization cryptocurrencies (Bitcoin, Ethereum, Ripple …