VaR and persistence of risk shocks in cryptocurrencies market
Year of publication: |
2019
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Authors: | Souza, Michel Cândido de |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 18.2019, 4, p. 379-390
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Subject: | Cryptocurrencies | Value-at-Risk | Quantile GARCH | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | VAR-Modell | VAR model | Schock | Shock | Volatilität | Volatility |
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