In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing...

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....