Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Mario Ivan Contreras-Valdez"'
Autor:
Mario Ivan Contreras-Valdez, Sonal Sahu, José Antonio Núñez-Mora, Roberto Joaquín Santillán-Salgado
Publikováno v:
Risks, Vol 12, Iss 3, p 50 (2024)
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution reno
Externí odkaz:
https://doaj.org/article/dba67ea27e804cf3a42a4ba049bd2e3b
Publikováno v:
Data Analytics Applications in Emerging Markets ISBN: 9789811946943
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::666485bcf3f6095639ac518fb70cd3b8
https://doi.org/10.1007/978-981-19-4695-0_5
https://doi.org/10.1007/978-981-19-4695-0_5
Publikováno v:
Mathematics, Vol 11, Iss 20, p 4395 (2023)
This paper reports our findings on the return dynamics of Bitcoin and Ethereum using high-frequency data (minute-by-minute observations) from 2015 to 2022 for Bitcoin and from 2016 to 2022 for Ethereum. The main objective of modeling these two series
Externí odkaz:
https://doaj.org/article/96cb0e22b9d5478080e648d38269709b
Publikováno v:
Mathematics, Vol 10, Iss 9, p 1353 (2022)
We estimated the stock market risk premium during the COVID-19 pandemic with a GARCH-in-Mean (GARCH-M)(1,1) model. The analysis then explored the presence of regime changes using a two-regime Markov-Switching GARCH (MS GARCH)(1,1) model. The sample w
Externí odkaz:
https://doaj.org/article/be3b223b2331482e9b0d4e42cc97acbf