Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Carol Alexander and Michael Dakos
| Year of publication: |
2023
|
|---|---|
| Authors: | Alexander, Carol ; Dakos, Michael |
| Subject: | Conditional VaR | Continuous ranked probability score | Energy score | Traffic light tests | Volatility clustering | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Aktienindex | Stock index |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2159505 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232660