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

DOI10.1080/14697688.2022.2159505MaRDI QIDQ6158409zbMATH OpenOpenAlexFDO

Authors Carol Alexander

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

conditional VaRcontinuous ranked probability scoreenergy scoretraffic light testsvolatility clustering

Mathematics Subject Classification ID

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

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Cites work

• A Class of Nonlinear Arch Models
• A component GARCH model with time varying weights
• Bitcoin futures -- what use are they?
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
• Forecasting volatility in bitcoin market
• Generalized autoregressive conditional heteroscedasticity
• Higher order elicitability and Osband's principle
• Optimization of computer simulation models with rare events
• Robust bootstrap forecast densities for GARCH returns and volatilities
• Scoring Rules for Continuous Probability Distributions
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The Model Confidence Set
• Threshold heteroskedastic models
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Volatility forecast comparison using imperfect volatility proxies
• Volatility forecasting accuracy for Bitcoin

Cited in

(2)

• Volatility estimation for Bitcoin: a comparison of GARCH models
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