Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies

Author:

Fiszeder PiotrORCID,Małecka MartaORCID,Molnár Peter

Publisher

Elsevier BV

Reference74 articles.

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

2. A systematic literature review of volatility and risk management on cryptocurrency investment: A methodological point of view;Almeida;Risks,2022

3. Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis;Bariviera;Journal of Economic Surveys,2021

4. Basel Committee on Banking Supervision, 1996. Supervisory framework for the use of 'backtesting' in conjunction with the internal models approach to market risk capital requirements. Retrieved from https://www.bis.org/publ/bcbs22.htm.

5. Basel Committee on Banking Supervision, 2017. High-level summary of Basel III Reforms. Online. Basel, Switzerland. Retrieved from https://www.bis.org/bcbs/publ/d424_hlsummary.pdf.

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