A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies

Author:

Trucíos Maza Carlos César,Taylor James W.

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference71 articles.

1. Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting;B Acereda;Finance Research Letters,2020

2. A critical investigation of cryptocurrency data and analysis;C Alexander;Quantitative Finance,2020

3. Forecasting risk with markovswitching GARCH models: A large-scale performance study;D Ardia;International Journal of Forecasting,2018

4. Markov-switching GARCH models in R: The MSGARCH package;D Ardia;Journal of Statistical Software,2019

5. Regime changes in Bitcoin GARCH volatility dynamics;D Ardia;Finance Research Letters,2019

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