Cargando…
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies
In this paper, we investigate the co-dependence and portfolio value-at-risk of cryptocurrencies, with the Bitcoin, Ethereum, Litecoin and Ripple price series from January 2016 to December 2021, covering the crypto crash and pandemic period, using the generalized autoregressive score (GAS) model. We...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9841966/ https://www.ncbi.nlm.nih.gov/pubmed/36684815 http://dx.doi.org/10.1007/s00181-023-02360-7 |