Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market

Gideon Boako, Aviral Tiwari and David Roubaud ()

International Economics, 2019, issue 158, 77-90

Abstract: In this paper, we use vine copula approaches to model the co-dependence and portfolio value-at-risk (VaR) of six cryptocurrencies using data of daily periodicity from September 2015 to June 2018. We establish evidence of strong dependencies among the virtual currencies with a dynamic dependency structure. We find that among the class of cryptocurrencies examined, Ethereum offers the best optimal and economically risk-reward trade-off subject to a no-shorting constraint for portfolio investors using the efficient frontier. Given the paucity of empirical research on the cryptocurrency markets, this paper provides new insights, which could be useful in developing dependence and risk strategies for investment and hedging purposes, especially during more volatile periods in the markets.

Keywords: Cryptocurrency; Vine copula; Dependence; Value-at-risk (search for similar items in EconPapers)
JEL-codes: E31 E42 G12 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://www.sciencedirect.com/science/article/abs/pii/S2110701718302750 (text/html)

Related works:
Journal Article: Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2019-q2-158-7

Access Statistics for this article

More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().