Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Carlos Trucíos, Aviral K. Tiwari & Faisal Alqahtani
| Year of publication: |
2020
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|---|---|
| Authors: | Trucíos, Carlos ; Tiwari, Aviral Kumar ; Alqahtani, Faisal |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 24, p. 2580-2593
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| Subject: | Cryptocurrency | GARCH | pair-copula | risk measures | volatility | Risikomaß | Risk measure | Volatilität | Volatility | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1693023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210957