Financial Risks of Business Management of Cryptocurrency Operations
Idaver Sherifi,
Olesia Lebid,
Olga Goncharova
et al.
Abstract:Bitcoin is an asset with high risks, and a significant part of its volatility can be explained by the speculative component. Parametric variance-covariance (VaR) methods are not applicable for assessing the risks of bitcoin investment, since log returns are not distributed according to the normal law. Autoregressive risk assessment models (such as ARIMA-GARCH) for bitcoin volatility overestimate risks at times of sharp exchange rate changes and they underestimate them at times of less significant rate changes … Show more
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