Risk quantification and validation for Bitcoin-Reference-Cited by-同舟云学术

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Risk quantification and validation for Bitcoin

Published:2020-07 Issue:4 Volume:48 Page:534-541
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Jiménez Inés,Mora-Valencia Andrés,Perote Javier^ORCID

Funder

Spanish Ministry of Economy and Competitiveness

Castilla and León Government, Spain

FAPA-Uniandes, Colombia

Bank of Santander, Spain

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference41 articles.

1. Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting;Acereda;Finance Res. Lett.,2019

2. Downside risk evaluation with the R package GAS;Ardia;J. Statist. Softw.,2019

3. When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management;Barnard;Ann. Oper. Res.,2018

4. Combining Value-at-Risk forecasts using penalized quantile regressions;Bayer;Econom. Statist.,2018

5. Regression Based Expected Shortfall Backtesting;Bayer,2018

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