Advanced Risk Modelling with Copulas for Crypto Portfolios

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This research explores the limitations of traditional investment models during crises, highlighting the need for a better measurement approach through mixed portfolios incorporating BTC, ETH, and S&P 500. It delves into copulas, specifically emphasizing Sklar’s Theorem and tail dependence using Gaussian, Student’s t, and Vine copulas. The study analyzes data from 2020-2025 with various statistical tests, employing GARCH and Skewed Student’s t models. Results show high volatility and fat tails...