Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting

Please use this identifier to cite or link to this item: http://hdl.handle.net/10045/106976
Información del item - Informació de l'item - Item information
Title: Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting
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:
Files in This Item:
File Description SizeFormat 
ThumbnailAcereda_etal_2020_FinanceResLett_final.pdfVersión final (acceso restringido)1,15 MBAdobe PDFOpen    Request a copy
ThumbnailAcereda_etal_2020_FinanceResLett_accepted.pdfEmbargo 24 meses (acceso abierto: 1 mayo 2021)458,9 kBAdobe PDFOpen    Request a copy


Items in RUA are protected by copyright, with all rights reserved, unless otherwise indicated.