Browsing by Author "Silahlı, Baykar"
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Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets
Silahlı, Baykar; Dingeç, Kemal Dinçer; Çifter, Atilla; Aydın, Nezir (Academic Press Inc Elsevier Science, 2021)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 ...