Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Year of publication: |
2020
|
---|---|
Authors: | Liu, Wei ; Semeyutin, Artur ; Lau, Chi Keung ; Gozgor, Giray |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 54.2020, p. 1-14
|
Subject: | Cryptocurrencies | Exponential smoothing | Generalised autoregressive score models | Kernel density estimation | RiskMetrics | Time-varying quantiles | Value-at-Risk | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Virtuelle Währung | Virtual currency | Schätztheorie | Estimation theory |
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