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 |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1830528394 [GVK] hdl:10419/273884 [Handle] |
Classification: | G17 - Financial Forecasting ; F31 - Foreign Exchange ; G01 - Financial Crises ; G11 - Portfolio Choice |
Source: |
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Gohs, Andreas Marcus, (2022)
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Caporin, Massimiliano, (2014)
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Multivariate normal mixture GARCH
Haas, Markus, (2006)
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Gohs, Andreas Marcus, (2022)
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Massiani, Jérôme, (2017)
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Gohs, Andreas Marcus, (2013)
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