Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration
Zhengxun Tan, Yilong Huang, Binuo Xiao
| Year of publication: |
2021
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|---|---|
| Authors: | Tan, Zhengxun ; Huang, Yilong ; Xiao, Binuo |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 56.2021, p. 1-17
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| Subject: | Cointegration | Cryptocurrencies | Long memory | Risk-return | Value-at-risk | Kointegration | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation | Finanzkrise | Financial crisis | Risiko | Risk | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2020.101347 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013266119