This paper examines the dynamic properties of Bitcoin and the Standard and Poor's SP500 index, using a variety of econometric approaches, including univariate and multivariate GARCH models, and vector autoregressive specifications. Moreover, we explore whether Bitcoin can be classified as a...

Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for Bitcoin and Ethereum, using GARCH methodology and filtered historical...

Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...

We elaborate on the tail conditional expectation, the tail conditional variance, and the tail variance when the residuals follow the standardized Pearson type-IV distribution. If the probability density function describing the data generation process is continuous and the moments are finite,...

We examine the efficiency of a GJR-GARCH model where the residuals follow the standardize Pearson type-IV distribution. As a case study we consider the historical daily close price of the Standard and Poor's index. The model is tested with a variety of loss functions and the efficiency is...