Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16
transactions, risk forecasting using daily data is not enough, and a high-frequency analysis is required. High-frequency data … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A … recently proposed data-driven volatility forecasting approach with daily data are used to study risk forecasting for …