Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
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 |
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