overview on the short-term portfolio tail risk contribution of six widely-traded cryptocurrencies. Considering the high …, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR … how the contribution to portfolio returns is not representative of the real grade of risk diversification. …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …