Previsão de value-at-risk para o mercado de criptomoedas usando modelos EGARCH com regimes markovianos
Paulo Fernando Marschner, Paulo Sergio Ceretta
| Alternative title: | Forecasting value-at-risk for the cryptocurrency market using Markov-switching EGARCH models |
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| Year of publication: |
2020
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| Authors: | Marschner, Paulo Fernando ; Ceretta, Paulo Sergio |
| Subject: | Cryptocurrencies | Volatility | Regime change | Value-at-Risk |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | Portuguese |
| Notes: | Zusammenfassung in englischer Sprache |
| Other identifiers: | 10.12660/rbfin.v18n3.2020.81186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012306256