In recent years, the tendency of the number of financial institutions to include
cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital …

Our study collected and synthetized the existing knowledge on portfolio diversification,
hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies …

Since Bitcoin price is highly volatile, forecasting its volatility is crucial for many applications,
such as risk management or hedging. We study which model is the most suitable for …

Understanding sectoral dynamic dependence across equity indexes is crucial for investment
decisions and designing economic policy. This study examines the sectoral dependence …

This study examines tail risk contagion across returns series of (i) ten major electricity
markets and (ii) five raw materials used for electricity production during crises, using data …

Purpose This paper examines the effect of cryptocurrencies on the portfolio risk-adjusted
returns of traditional and alternative investments within an emerging market economy …

This paper examines the volatility of cryptocurrencies, with particular attention to their
potential long memory properties. Using daily data for the three major cryptocurrencies …

Abstract We forecast the Range Value at Risk (RVaR) of main cryptocurrencies using the
GARCH model with different error distributions. We compare the performance of the different …

Several procedures to forecast daily risk measures in cryptocurrency markets have been
recently implemented in the literature. Among them, long‐memory processes, procedures …

This paper introduces a semi-nonparametric approach for modeling Bitcoin risk relatively to
other parametric distributions and volatility models. Model performance is assessed through …