Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10010495168
Persistent link: https://www.econbiz.de/10012805140
Persistent link: https://www.econbiz.de/10013348237
Persistent link: https://www.econbiz.de/10014472723
Persistent link: https://www.econbiz.de/10015084570
This study investigates the role of probability distribution in forecasting volatility and Value-at-Risk (VaR). We use the Realized GARCH model and high-frequency data from the cryptocurrency market and show that the role of probability distribution varies across different situations. A skewed-t...
Persistent link: https://www.econbiz.de/10014239198