Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Qihao Chen, Zhuo Huang and Fang Liang
| Year of publication: |
2024
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| Authors: | Chen, Qihao ; Huang, Zhuo ; Liang, Fang |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 31.2024, 18, p. 1907-1914
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| Subject: | volatility | cryptocurrency | Probability distribution | Realized GARCH | value-at-risk | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2023.2208824 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015084570