This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … detailed comparative analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both …

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …