TY  - JOUR 
AU  - Jiménez Jiménez, María Inés
AU  - Mora Valencia, Andrés
AU  - Perote Peña, Javier
PY  - 2022
SN  - 0275-5319
UR  - http://hdl.handle.net/10366/159504
AB  - [EN] This paper establishes a brand-new perspective of analyzing the risk of crypto assets through a
semi-nonparametric approach, discussing its theoretical advantages and testing its performance
compared to parametric approaches and in terms of...
LA  - eng
PB  - Elsevier
KW  - Gram Charlier series
KW  - Value-at-Risk
KW  - Expected shortfall
KW  - Median shortfall
KW  - Backtesting
KW  - Cryptocurrencies
TI  - Semi-nonparametric risk assessment with cryptocurrencies
DO  - 10.1016/j.ribaf.2021.101567
T2  - Research in International Business and Finance
VL  - 59
M2  - 101567
ER  -