Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios

DOI10.1080/14697688.2022.2159505zbMath1518.91313OpenAlexW4319832790MaRDI QIDQ6158409

Carol Alexander, Unnamed Author

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2159505

zbMATH Keywords

volatility clusteringcontinuous ranked probability scoreenergy scoreconditional VaRtraffic light tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cites Work

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• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A Component GARCH Model with Time Varying Weights
• A Class of Nonlinear Arch Models
• Scoring Rules for Continuous Probability Distributions
• Robust bootstrap forecast densities for GARCH returns and volatilities
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Threshold heteroskedastic models
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

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