Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach
| Autor: | Carlos Trucíos, Aviral Kumar Tiwari, Faisal Alqahtani |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance Actuarial science business.industry Autoregressive conditional heteroskedasticity 05 social sciences Market maker Hedge fund Vine copula Expected shortfall 0502 economics and business Economics Portfolio 050207 economics business Value at risk Risk management |
| Zdroj: | Applied Economics. 52:2580-2593 |
| ISSN: | 1466-4283 0003-6846 |
| DOI: | 10.1080/00036846.2019.1693023 |
| Popis: | Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its key points is the appropriate estimation of risk measures which can improve the... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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