Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios
Year of publication: |
[2022]
|
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Authors: | Alexander, Carol ; Dakos, Michael |
Publisher: |
[S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation |
Extent: | 1 Online-Ressource (50 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 7, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4078032 [DOI] |
Classification: | C22 - Time-Series Models ; C5 - Econometric Modeling ; F31 - Foreign Exchange ; G1 - General Financial Markets ; G2 - Financial Institutions and Services |
Source: | ECONIS - Online Catalogue of the ZBW |
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