A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies

Author:

Fantazzini DeanORCID,Zimin Stephan

Funder

Russian Academic Excellence Project 5-100

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,General Business, Management and Accounting,Business and International Management,Economics and Econometrics

Reference151 articles.

1. Acerbi, C., & Szekely, B. (2014). Back-testing expected shortfall. Risk, 27, 76–81.

2. Aielli, G. P. (2013). Dynamic conditional correlation: on properties and estimation. Journal of Business & Economic Statistics, 31(3), 282–99.

3. Altman, E. I., & Sabato, G. (2007). Modelling credit risk for smes: evidence from the us market. Abacus, 43(3), 332–57.

4. Antonopoulos, A. M. (2014). Mastering bitcoin: unlocking digital cryptocurrencies. Newton: O’Reilly Media, Inc.

5. Back, A. (2002). Hashcash-a Denial of Service Counter-Measure. http://www.hashcash.org/papers/hashcash.pdf .

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