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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F24%3A00060540" target="_blank" >RIV/61384399:31110/24:00060540 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S026499932400244X?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S026499932400244X?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2024.106887" target="_blank" >10.1016/j.econmod.2024.106887</a>

Result language
angličtina
Original language name
Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Original language description
Main topics of the document: cryptocurrency; bitcoin; volatility models; value at risk; expected shortfall; high-low range; robust estimation; outliers
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
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Result description