Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.

Name: Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.
Creator: Economics and finance
Published: 2024-11-15T10:44:13+08:00

RepOD Repository for Open Data2024-11-15 更新2026-07-23 收录

加密货币波动率预测

风险价值与预期亏损

数据链接：

https://repod.icm.edu.pl/dataset.xhtml?persistentId=doi:10.18150/LH0KS7 数据链接链接失效反馈

官方服务：

资源简介：

Fiszeder, Piotr; Pietrzyk Radosław, 2024, "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.", https://doi.org/10.18150/LH0KS7, RepOD, V2

提供机构：

Economics and finance

创建时间：

2024-11-15