Measuring value-at-risk and expected shortfall of newer cryptocurrencies: new insights

A significant amount of historical returns is needed for the generalized autoregressive conditional heteroscedasticity (GARCH) models to be calibrated. Newer cryptocurrencies, such as non-fungible tokens (NFTs), have relatively limited data to create robust parameter estimates. This study uses a new...

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Bibliographic Details
Main Authors: Agoestina Mappadang, Bayu Adi Nugroho, Setyani Dwi Lestari, Elizabeth, Titi Kanti Lestari
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Business & Management
Subjects:
Online Access:https://www.tandfonline.com/doi/10.1080/23311975.2024.2416096