Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging strategies. Unfortunately, due to the curse of...