. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in … future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In …

cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … possibilities for arbitrage opportunities. Findings could be beneficial for investors and policymakers as well as for scientific …

when managing cryptocurrency portfolios …

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the … conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1 …% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively …