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Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony; Mundia, Simon; Omari, Cyprian Ondieki - In: Journal of mathematical finance 9 (2019) 4, pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20
This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory … properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long …) Model Method. Our findings show that squared returns of three cryptocurrencies have a significant long memory, supporting …
Persistent link: https://www.econbiz.de/10012305060
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Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Liu, Wei; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray - In: Research in international business and finance 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
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Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599
Persistent link: https://www.econbiz.de/10011850296
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
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Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco; Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 4, pp. 959-977
Persistent link: https://www.econbiz.de/10002601077
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 14 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014335934