Time-varying higher moments in Bitcoin

Leonardo Ieracitano Vieira and Márcio Laurini
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Leonardo Ieracitano Vieira: FEARP, University of São Paulo

Digital Finance, 2023, vol. 5, issue 2, No 1, 260 pages

Abstract: Abstract Cryptocurrencies represent a new and important class of investments but are associated with asymmetric distributions and extreme price changes. We use a modeling structure where higher-order moments (scale, skewness and kurtosis) are time-varying, and additionally we used nontraditional innovations distributions to study the return series of the most important cryptocurrency, Bitcoin. Based on the estimation of a series of Generalized Autoregressive Score (GAS) models, we compare predictive performance using a loss function based on Value at Risk performance.

Keywords: Bitcoin; Higher-order moments; Risk management; Generalized autoregressive score (search for similar items in EconPapers)
JEL-codes: C58 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s42521-022-00072-8

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