A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Carlos Trucíos, James W. Taylor
| Year of publication: |
2023
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| Authors: | Trucíos, Carlos ; Taylor, James W. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 4, p. 989-1007
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| Subject: | digital assets | forecast combining | model misspecification | outliers | risk measures | structural breaks | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Virtuelle Währung | Virtual currency | Strukturbruch | Structural break | Modellierung | Scientific modelling | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2929 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292894