A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the literature. Among them, long-memory processes, procedures taking into account the presence of extreme observations, procedures that include more than a single regime, and quantile regre...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Wiley
2022
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