Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets

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Silahli B., Dingec K. D., Cifter A., AYDIN N.

Finance Research Letters, cilt.38, 2021 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 38
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1016/j.frl.2019.101425
  • Dergi Adı: Finance Research Letters
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: Two-sided Weibull distribution, Portfolio Value-at-Risk, Volatility, Cryptocurrency markets
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

This paper extends the univariate two-sided Weibull distribution to a multivariate case for portfolio-value-at-risk estimation. This method allows to capture the stylized facts of the time series of cryptocurrencies, such as extreme volatility, volatility clustering, very heavy tails, and skewness. This new portfolio risk model is applied to a cryptocurrency portfolio consisting of four major coins: Bitcoin, Litecoin, Ripple, and Dash. The predictive performance of the proposed model is compared with several widely used models. We find that the portfolio value-at-risk with two-sided Weibull distribution outperforms the other models.