Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Piotr Fiszeder, Marta Małecka, Peter Molnár
| Year of publication: |
2024
|
|---|---|
| Authors: | Fiszeder, Piotr ; Małecka, Marta ; Molnár, Peter |
| Subject: | Bitcoin | Cryptocurrency | Expected shortfall | High-low range | Outliers | Robust estimation | Value at risk | Volatility models | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Theorie | Theory | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Aktienindex | Stock index | Finanzmarkt | Financial market |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2024.106887 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015191454