Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized …

In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk … primary focus on Bitcoin and Ethereum, our research seeks to accentuate the resilience of VaR methodology as a paramount risk … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …