Estimating the expected shortfall of cryptocurrencies : an evaluation based on backtesting
Beatriz Acereda, Angel Leon, Juan Mora
| Year of publication: |
2020
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|---|---|
| Authors: | Acereda, Beatriz ; León Valle, Ángel Manuel ; Mora, Juan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 33.2020, p. 1-6
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| Subject: | Backtesting | Cryptocurrencies | Expected shortfall | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.04.037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430835