The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation
Year of publication: |
[2022]
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Authors: | Gohs, Andreas Marcus |
Publisher: |
Marburg : Philipps-University Marburg, School of Business and Economics |
Subject: | Conditional volatility | Skew Student T | Markov Switching MS-GARCH | Multivariate GARCH | Mean Excess Loss | Default Correlation | Software R | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Statistische Verteilung | Statistical distribution | Euro | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Markov-Kette | Markov chain | Virtuelle Währung | Virtual currency | Theorie | Theory | Korrelation | Correlation |
Extent: | 1 Online-Ressource (circa 97 Seiten) Illustrationen |
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Series: | Joint discussion paper series in economics : publ. by the Universities of Aachen, Gießen, Göttingen, Kassel, Marburg, Siegen. - Marburg : Philipps University Marburg, Department of Business Administration & Economics, ISSN 1867-3678, ZDB-ID 2499212-4. - Vol. no. 2022, 46 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/273884 [Handle] |
Classification: | G17 - Financial Forecasting ; F31 - Foreign Exchange ; G01 - Financial Crises ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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