Previsão de value-at-risk para o mercado de criptomoedas usando modelos EGARCH com regimes markovianos
Alternative title: | Forecasting value-at-risk for the cryptocurrency market using Markov-switching EGARCH models |
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Year of publication: |
2020
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Authors: | Marschner, Paulo Fernando ; Ceretta, Paulo Sergio |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 18.2020, 3, p. 80-107
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Subject: | Cryptocurrencies | Volatility | Regime change | Value-at-Risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | Portuguese |
Notes: | Zusammenfassung in englischer Sprache |
Other identifiers: | 10.12660/rbfin.v18n3.2020.81186 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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