Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
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DOI: 10.1016/j.econmod.2024.106887
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More about this item
Keywords
Cryptocurrency; Bitcoin; Volatility models; Value at risk; Expected shortfall; High-low range; Robust estimation; Outliers;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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