Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model
Lingbo Gao, Wuyi Ye, Ranran Guo
| 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 | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Markov-Kette | Markov chain | Spekulationsblase | Bubbles | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102826 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013459321