Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Year of publication: |
2024
|
---|---|
Authors: | Wang, Ruting ; Potì, Valerio ; Härdle, Wolfgang |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 7, p. 975-992
|
Subject: | Cryptocurrencies | Market risk | Network dynamics | Penalisation parameter | Quantile LASSO regression | Regularisation | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Theorie | Theory | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Unternehmensnetzwerk | Business network | Portfolio-Management | Portfolio selection |
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