Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Wei Liu, Artur Semeyutin, Chi Keung Marco Lau, Giray Gozgor
| Year of publication: |
2020
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|---|---|
| Authors: | Liu, Wei ; Semeyutin, Artur ; Lau, Chi Keung ; Gozgor, Giray |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 54.2020, p. 1-14
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| Subject: | Cryptocurrencies | Exponential smoothing | Generalised autoregressive score models | Kernel density estimation | RiskMetrics | Time-varying quantiles | Value-at-Risk | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2020.101259 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012581358