Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model
Kunliang Jiang, Linhui Zeng, Jiashan Song, Yimeng Liu
| Year of publication: |
2022
|
|---|---|
| Authors: | Jiang, Kunliang ; Zeng, Linhui ; Song, Jiashan ; Liu, Yimeng |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 61.2022, p. 1-13
|
| Subject: | Accelerating generalized autoregressive score | Cryptocurrency markets | Risk management | Time-varying mixture model | Value-at-Risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Risikomanagement | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2022.101634 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014240057