Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F23%3A00059229" target="_blank" >RIV/61384399:31110/23:00059229 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/abs/pii/S1544612323001903" target="_blank" >https://www.sciencedirect.com/science/article/abs/pii/S1544612323001903</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2023.103817" target="_blank" >10.1016/j.frl.2023.103817</a>

Result language
angličtina
Original language name
Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations
Original language description
Main topics of the document: alpha stable distribution; ARMA-GARCH; cryptocurrencies; dynamic VaR and CVaR; Covid-19
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA22-19617S" target="_blank" >GA22-19617S: Modeling the structure and dynamics of energy, commodity and alternative asset prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Result description