Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk
Author:
Funder
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
Conselho Nacional de Desenvolvimento Científico e Tecnológico
Publisher
Elsevier BV
Subject
Finance
Reference40 articles.
1. Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting;Acereda;Finance Res. Lett.,2020
2. Regime changes in bitcoin GARCH volatility dynamics;Ardia;Finance Res. Lett.,2019
3. Coherent measures of risk;Artzner;Math. Finance,1999
4. Barendse, S., 2017. Interquantile Expectation Regression. Tinbergen Institute Discussion Paper 2017-034/III.
5. Fundamental Review of the Trading Book: A Revised Market Risk Framework;Basel Committee on Banking Supervision,2013
Cited by 13 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Cryptocurrency trading: A systematic mapping study;International Journal of Information Management Data Insights;2024-11
2. Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions;Communications in Statistics - Theory and Methods;2024-07-25
3. Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets;Journal of Risk and Financial Management;2024-06-13
4. Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers;Computational Economics;2024-04-01
5. Forecasting of cryptocurrencies: Mapping trends, influential sources, and research themes;Journal of Forecasting;2024-03-05
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3