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The European Journal of Finance Volume 27, 2021 - Issue 16
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Research Article

Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss

Konstantinos Gkillasa Department of Management Science and Technology, University of Patras, Patras, GreeceCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-8790-080X
ORCID Icon,
Rangan Guptab Department of Economics, University of Pretoria, Pretoria, South AfricaORCID Iconhttps://orcid.org/0000-0001-5002-3428
ORCID Icon &
Christian Pierdziochc Department of Economics, Helmut Schmidt University, HamburgGermanyORCID Iconhttps://orcid.org/0000-0001-6887-7763
ORCID Icon
Pages 1626-1644 | Received 06 Jan 2020, Accepted 03 Mar 2021, Published online: 02 Apr 2021

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Saswat Patra & Neha Gupta. (2023) Risk in the cryptocurrency markets: the role of structural breaks and fat-tailed distributions in estimating value-at-risk and expected shortfall. The European Journal of Finance 0:0, pages 1-21.
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Articles from other publishers (2)

Lei Wang, Provash Kumer Sarker & Elie Bouri. (2022) Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US. Computational Economics 61:4, pages 1305-1330.
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. (2022) E: Policy, Law and Regulation. World Banking Abstracts 39:2, pages 114-127.
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