Predicting value at risk for cryptocurrencies with generalized random forests
Rebekka Buse, Konstantin Görgen, Melanie Schienle
| Year of publication: |
2025
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|---|---|
| Authors: | Buse, Rebekka ; Görgen, Konstantin ; Schienle, Melanie |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 41.2025, 3, p. 1199-1222
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| Subject: | Backtesting | Cryptocurrencies | Generalized random forests | Quantile prediction | Value at risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Forstwirtschaft | Forestry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2024.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015441558