Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios (Q6158409)
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scientific article; zbMATH DE number 7698389
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios |
scientific article; zbMATH DE number 7698389 |
Statements
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios (English)
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20 June 2023
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volatility clustering
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conditional VaR
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continuous ranked probability score
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energy score
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traffic light tests
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