Assessing the accuracy of exponentially weighted moving average models for Value at Risk and Expected Shortfall of crypto portfolios.pdf (6.47 MB)
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
journal contribution
posted on 2023-06-10, 05:57 authored by Carol AlexanderCarol Alexander, Michael Dakos-MantoudisMarket betas of bitcoin relative to a broad crypto market index vary considerably, depending on the data source and the index selected. Even greater differences are found for ether and other cryptocurrencies. An in-depth exploration of the cause of these discrepancies reveals a long-standing incorrect time-stamping of some ranking-site data, and hence also the CRIX market index. Furthermore, individual coin data from some exchanges requires adjusting for unstable prices in the ‘stablecoin’ tether. Even then, Bitfinex coin prices have de-coupled from prices on other exchanges. Is yet another Bitfinex-tether issue arising? Finally, regarding the risk analysis of coin returns, we argue that this requires highly sophisticated models. But calibrating even the simplest GARCH model is extremely difficult because they are surprisingly sensitive to the data source.
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- Published
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- Published version
Journal
Quantitative FinanceISSN
1469-7688Publisher
Taylor & FrancisExternal DOI
Page range
1-35Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2023-01-13First Open Access (FOA) Date
2023-02-22First Compliant Deposit (FCD) Date
2023-01-12Usage metrics
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