Value at risk estimation using GAS models with heavy tailed distributions for cryptocurrencies
Stephanie Danielle Subramoney, Knowledge Chinhamu, Retius Chifurira
| Year of publication: |
2021
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|---|---|
| Authors: | Subramoney, Stephanie Danielle ; Chinhamu, Knowledge ; Chifurira, Retius |
| Published in: |
International journal of finance & banking studies : JJFBS. - Istanbul : [Verlag nicht ermittelbar], ISSN 2147-4486, ZDB-ID 2724514-7. - Vol. 10.2021, 4, p. 40-54
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| Subject: | Bitcoin | Cryptocurrency | Ethereum | Generalized lambda distribution (GLD) | GAS | Value-at-Risk | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Statistische Verteilung | Statistical distribution | Gaswirtschaft | Gas industry | Erdgasmarkt | Natural gas market | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.20525/ijfbs.v10i4.1316 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012653269