Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/3587
Title: VAR of VaR : the case of cryptocurrencies and financial markets
Authors: Mouallem, Anthony
Advisors: Assaf, Ata 
Subjects: Cryptocurrencies
Digital currency
Issue Date: 2019
Abstract: 
Due to the fact that digital currencies nowadays have become an essential technological advancement in our society, investors are now adapting to new techniques in order to gain advantage in predicting their prices and returns. Cryptocurrencies by nature are highly volatile therefore, scaring investors away rather than attracting them. By obtaining daily historical prices we examined the relationship between cryptocurrencies on different financial markets. How they are linked highly depended on which cryptocurrency is supported more in a certain market index. This paper should be helpful for investors who focus on diversification to reduce risk. My results from using the Vector Autoregressive model to interpret how Bitcoin and Ripple transgress throughout different market segments are highly beneficial. Overall, Bitcoin does not have the same results as Ripple on certain market indexes, and Ripple also does not react in the same way as Bitcoin on stock market indices.
Description: 
Includes bibliographical references (p. 40-42).

Supervised by Dr. Ata Assaf.
URI: https://scholarhub.balamand.edu.lb/handle/uob/3587
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
Ezproxy URL: Link to full text
Type: Project
Appears in Collections:UOB Theses and Projects

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