Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
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http://hdl.handle.net/10045/106976
Title: | Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting |
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Authors: | Acereda Serrano, Beatriz | León Valle, Ángel M. | Mora-López, Juan |
Research Group/s: | Finanzas de Mercado y Econometría Financiera | Economía Laboral y Econometría (ELYE) |
Center, Department or Service: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Keywords: | Expected shortfall | Backtesting | Cryptocurrencies |
Knowledge Area: | Fundamentos del Análisis Económico | Economía Financiera y Contabilidad |
Issue Date: | Mar-2020 |
Publisher: | Elsevier |
Citation: | Finance Research Letters. 2020, 33: 101181. doi:10.1016/j.frl.2019.04.037 |
Abstract: | We estimate the Expected Shortfall (ES) of four major cryptocurrencies using various error distributions and GARCH-type models for conditional variance. Our aim is to examine which distributions perform better and to check what component of the specification plays a more important role in estimating ES. We evaluate the performance of the estimations using a rolling-window backtesting technique. Our results highlight the importance of estimating the ES of Bitcoin using a generalized GARCH model and a non-normal error distribution with at least two parameters. Though the results for other cryptocurrencies are less clear-cut, heavy-tailed distributions continue to outperform the normal distribution. |
Sponsor: | Financial support from Spanish Ministerio de Economía, Industria y Competitividad (ECO2017-87069-P) is gratefully acknowledged. |
URI: | http://hdl.handle.net/10045/106976 |
ISSN: | 1544-6123 (Print) | 1544-6131 (Online) |
DOI: | 10.1016/j.frl.2019.04.037 |
Language: | eng |
Type: | info:eu-repo/semantics/article |
Rights: | © 2019 Elsevier Inc. |
Peer Review: | si |
Publisher version: | https://doi.org/10.1016/j.frl.2019.04.037 |
Appears in Collections: | INV - ELYE - Artículos de Revistas INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
Files in This Item:
File | Description | Size | Format | |
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Acereda_etal_2020_FinanceResLett_final.pdf | Versión final (acceso restringido) | 1,15 MB | Adobe PDF | Open Request a copy |
Acereda_etal_2020_FinanceResLett_accepted.pdf | Accepted Manuscript (acceso abierto) | 458,9 kB | Adobe PDF | Open Preview |
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