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Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models |
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| Institution: | 1. Students’ Innovation and Entrepreneurship Center, Sichuan Province College, China;2. School of Economics, Finance and Accounting, Coventry University, Coventry, UK;3. Department of Accountancy, Finance, and Economics, University of Huddersfield, Huddersfield, UK;4. Faculty of Political Sciences, Istanbul Medeniyet University, Istanbul, Turkey |
| Abstract: | |
| Keywords: | RiskMetrics Exponential smoothing Generalised autoregressive score models Kernel density estimation Time-varying quantiles Value-at-Risk Cryptocurrencies |
| 本文献已被 ScienceDirect 等数据库收录！ | |