Intraday Value at Risk Estimation with Multivariate Intensity Models : An Application to Cryptocurrencies
Year of publication: |
2023
|
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Authors: | Patino, Mariana ; Peter, Franziska J. |
Publisher: |
[S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (34 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4344049 [DOI] |
Classification: | c58 ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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