Bayesian Forecasting of Value‐at‐Risk and Expected Shortfall in Cryptocurrency Markets: A Nonlinear Semi‐Parametric Framework
Sign Up to like & getrecommendations! Published in 2025 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2926
Abstract: Cryptocurrencies exhibit high volatility, emphasizing the importance of accurately measuring tail risk in their markets. This research incorporates a threshold‐switching mechanism into Taylor's ES‐CAViaR models that unveil features such as asymmetry and jump phenomena. These… read more here.
Keywords: risk; tail; value risk; forecasting value ... See more keywords
Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2020.101259
Abstract: Abstract Since the financial crisis, risk management has been of growing interest to investors and the approach of Value-at-Risk has gained wide acceptance. Investing in Cryptocurrencies brings not only huge rewards but also huge risks.… read more here.
Keywords: value risk; risk; forecasting value; value ... See more keywords