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Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular … cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … exchange rates of each of these cryptocurrencies to estimate a one-step ahead prediction of Value-at-Risk (VaR) and Expected …

Persistent link: https://www.econbiz.de/10011882344

Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

Persistent link: https://www.econbiz.de/10011995757

Testing for bubbles in cryptocurrencies with time : varying volatility

Hafner, Cristian M. - In: Journal of financial econometrics 18 (2020) 2, pp. 233-249

Persistent link: https://www.econbiz.de/10012232932

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10011301159

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

On extreme value theory in the presence of technical trend : pre and post Covid-19 analysis of cryptocurrency markets

Nair, Saji Thazhungal Govindan - In: Journal of financial economic policy 14 (2022) 4, pp. 533-561

Persistent link: https://www.econbiz.de/10013287972

Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach

Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger …

Persistent link: https://www.econbiz.de/10014234393

Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets

Hanif, Waqas; Areola Hernandez, Jose; Troster, Victor; … - In: Pacific-Basin finance journal 74 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013389474

Intraday Value at Risk Estimation with Multivariate Intensity Models : An Application to Cryptocurrencies

Patino, Mariana; Peter, Franziska J. - 2023

-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional … nonconstant, we successfully capture significant excitations within and across the cryptocurrencies and thus model the clustering …

Persistent link: https://www.econbiz.de/10014254807

Got crypto? : evidence from Markowitz, Kataoka, and conditional value-at-risk models

Du, Lanqing; Lee, Jinwook; Kim, Namjong; Choi, Paul Moon Sub - In: Fintech, pandemic, and the financial system : …, (pp. 113-143). 2023

Persistent link: https://www.econbiz.de/10014245458