Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Jiri Malek, Duc Khuong Nguyen, Ahmet Sensoy, Quang Van Tran
| Year of publication: |
2023
|
|---|---|
| Authors: | Malek, Jiri ; Nguyen, Duc Khuong ; Sensoy, Ahmet ; Quang Van Tran |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 1, p. 1-11
|
| Subject: | Alpha stable distribution | ARMA-GARCH | COVID-19 | Cryptocurrencies | Dynamic VaR and CVaR | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Coronavirus | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103817 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472966