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

DOI10.1080/14697688.2022.2159505zbMATH Open1518.91313OpenAlexW4319832790MaRDI QIDQ6158409FDOQ6158409

Authors: Carol Alexander 

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

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zbMATH Keywords

continuous ranked probability scorevolatility clusteringenergy 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

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

Cited In (2)

• Marginalization and aggregation of exponential smoothing models in forecasting portfolio volatility
• Volatility estimation for Bitcoin: a comparison of GARCH models

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