Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations-Reference-Cited by-同舟云学术

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Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations

Published:2023-07 Issue: Volume:55 Page:103817
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Malek Jiri,Nguyen Duc Khuong^ORCID,Sensoy Ahmet^ORCID,Tran Quang Van^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference31 articles.

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4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

5. Time Series Analysis: Forecasting and Control;Box,2015

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2. Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis;Journal of International Money and Finance;2024-07

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4. Emotional spillovers in the cryptocurrency market;Journal of Behavioral and Experimental Finance;2024-03

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