Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model
Year of publication: |
2022
|
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Authors: | Gao, Lingbo ; Ye, Wuyi ; Guo, Ranran |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 48.2022, p. 1-10
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Subject: | Bitcoin | Bubble index | CAViaR | Markov regime-switching models | Risikomaß | Risk measure | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Theorie | Theory | Virtuelle Währung | Virtual currency | Spekulationsblase | Bubbles | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Schätzung | Estimation | Risiko | Risk |
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