Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies
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 |
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