Forecasting tail risk for Bitcoin : a dynamic peak over threshold approach
Rui Ke, Luyao Yang, Changchun Tan
| Year of publication: |
2022
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|---|---|
| Authors: | Ke, Rui ; Yang, Luyao ; Tan, Changchun |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-9
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| Subject: | Bitcoin | Peak over threshold | Tail risk | Value at risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Virtuelle Währung | Virtual currency | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103086 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013478773