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Bitcoin returns and risk : a general GARCH and GAS analysis
Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193
Persistent link: https://www.econbiz.de/10012420417
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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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Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos - In: International journal of forecasting 35 (2019) 3, pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
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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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More to cryptos than bitcoin : a GARCH modelling of heterogeneous cryptocurrencies
Fung, Kennard; Jeong, Jiin; Pereira, Javier - In: Finance research letters 47 (2022) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10013457293
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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
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Blockchain analytics for intraday financial risk modeling
Dixon, Matthew F.; Akcora, Cuneyt Gurcan; Gel, Yulia R.; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 67-89
Persistent link: https://www.econbiz.de/10012223863
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Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple
Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: Danube : law and economics review 11 (2020) 3, pp. 253-269
GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012309770
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A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Mba, Jules Clement; Pindza, Edson; Koumba, Ur - In: Financial markets and portfolio management 32 (2018) 4, pp. 399-418
Persistent link: https://www.econbiz.de/10011952000