Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies

Ruting Wang, Valerio Potì and Wolfgang Karl Härdle

Year of publication:	2024
Authors:	Wang, Ruting ; Potì, Valerio ; Härdle, Wolfgang
Subject:	Cryptocurrencies \| Market risk \| Network dynamics \| Penalisation parameter \| Quantile LASSO regression \| Regularisation \| Virtuelle Währung \| Virtual currency \| Volatilität \| Volatility \| Theorie \| Theory \| Regressionsanalyse \| Regression analysis \| Risiko \| Risk \| Unternehmensnetzwerk \| Business network \| Risikomaß \| Risk measure \| Marktrisiko

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