Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple
Year of publication: |
2020
|
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Authors: | Ječmínek, Jakub ; Kukalová, Gabriela ; Moravec, Lukáš |
Subject: | Cryptocurrency | Volatility | Value-at-risk | VaR | Geometric Brownian Motion | GARCH | Volatilität | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Theorie | Theory | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.2478/danb-2020-0015 [DOI] hdl:10419/242171 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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