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Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets

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dc.contributor.authorSilahli, Baykar
dc.contributor.authorDingec, Kemal Dincer
dc.contributor.authorCifter, Atilla
dc.contributor.authorAydin, Nezir
dc.date.accessioned2026-06-27T14:33:43Z
dc.date.issued2021
dc.description.abstractThis paper extends the univariate two-sided Weibull distribution to a multivariate case for portfolio-value-at-risk estimation. This method allows to capture the stylized facts of the time series of cryptocurrencies, such as extreme volatility, volatility clustering, very heavy tails, and skewness. This new portfolio risk model is applied to a cryptocurrency portfolio consisting of four major coins: Bitcoin, Litecoin, Ripple, and Dash. The predictive performance of the proposed model is compared with several widely used models. We find that the portfolio value-at-risk with two-sided Weibull distribution outperforms the other models.en
dc.description.urihttps://doi.org/10.1016/j.frl.2019.101425
dc.identifier.doi10.1016/j.frl.2019.101425
dc.identifier.eissn1544-6131
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/20.500.14981/62093
dc.identifier.volume38
dc.identifier.wos000614074100020
dc.language.isoeng
dc.publisherACADEMIC PRESS INC ELSEVIER SCIENCE
dc.relation.ispartofFINANCE RESEARCH LETTERS
dc.subjectTwo-sided Weibull distribution
dc.subjectPortfolio Value-at-Risk
dc.subjectVolatility
dc.subjectCryptocurrency markets
dc.subjectBusiness & Economics
dc.titlePortfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets
dc.typeArticle
dspace.entity.typePublication
local.import.sourceWOS

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