On the factors of Bitcoin’s value at risk
Abstract This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as B...
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| Format: | article |
| Langue: | EN |
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SpringerOpen
2021
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| Accès en ligne: | https://doaj.org/article/065c625fa7a74ef8b415965ddc8bbe9d |
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