Matches in SemOpenAlex for { <https://semopenalex.org/work/W4213100682> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W4213100682 endingPage "101634" @default.
- W4213100682 startingPage "101634" @default.
- W4213100682 abstract "We introduce the accelerating generalized autoregressive score (aGAS) technique into the Gaussian-Cauchy mixture model and propose a novel time-varying mixture (TVM)-aGAS model. The TVM-aGAS model is particularly suitable for processing the fat-tailed and extreme volatility characteristics of cryptocurrency returns. We then apply it to Value-at-Risk (VaR) forecasting of three cryptocurrencies, obtaining testing results that show our model possesses advantages in forecasting the density of daily cryptocurrency returns. Compared to other benchmarked models, the proposed model performs well in forecasting out-of-sample VaR. The findings underscore that our method is a useful and reliable alternative for forecasting VaR in cryptocurrencies." @default.
- W4213100682 created "2022-02-24" @default.
- W4213100682 creator A5006594014 @default.
- W4213100682 creator A5007837667 @default.
- W4213100682 creator A5019899355 @default.
- W4213100682 creator A5059006209 @default.
- W4213100682 date "2022-10-01" @default.
- W4213100682 modified "2023-10-14" @default.
- W4213100682 title "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model" @default.
- W4213100682 cites W1977970167 @default.
- W4213100682 cites W2043688867 @default.
- W4213100682 cites W2052735173 @default.
- W4213100682 cites W2112339981 @default.
- W4213100682 cites W2612382091 @default.
- W4213100682 cites W2759609844 @default.
- W4213100682 cites W2769638291 @default.
- W4213100682 cites W2771030840 @default.
- W4213100682 cites W2778382768 @default.
- W4213100682 cites W2785114503 @default.
- W4213100682 cites W2799918576 @default.
- W4213100682 cites W2887883206 @default.
- W4213100682 cites W2892579226 @default.
- W4213100682 cites W2894466258 @default.
- W4213100682 cites W2898449608 @default.
- W4213100682 cites W2913024436 @default.
- W4213100682 cites W2937668739 @default.
- W4213100682 cites W2962769745 @default.
- W4213100682 cites W3010146996 @default.
- W4213100682 cites W3035007220 @default.
- W4213100682 cites W3122046970 @default.
- W4213100682 cites W3193158160 @default.
- W4213100682 cites W3211033553 @default.
- W4213100682 doi "https://doi.org/10.1016/j.ribaf.2022.101634" @default.
- W4213100682 hasPublicationYear "2022" @default.
- W4213100682 type Work @default.
- W4213100682 citedByCount "12" @default.
- W4213100682 countsByYear W42131006822022 @default.
- W4213100682 countsByYear W42131006822023 @default.
- W4213100682 crossrefType "journal-article" @default.
- W4213100682 hasAuthorship W4213100682A5006594014 @default.
- W4213100682 hasAuthorship W4213100682A5007837667 @default.
- W4213100682 hasAuthorship W4213100682A5019899355 @default.
- W4213100682 hasAuthorship W4213100682A5059006209 @default.
- W4213100682 hasConcept C10138342 @default.
- W4213100682 hasConcept C105795698 @default.
- W4213100682 hasConcept C149782125 @default.
- W4213100682 hasConcept C159877910 @default.
- W4213100682 hasConcept C162324750 @default.
- W4213100682 hasConcept C180706569 @default.
- W4213100682 hasConcept C32896092 @default.
- W4213100682 hasConcept C33923547 @default.
- W4213100682 hasConcept C38652104 @default.
- W4213100682 hasConcept C41008148 @default.
- W4213100682 hasConcept C60092789 @default.
- W4213100682 hasConcept C61224824 @default.
- W4213100682 hasConcept C91602232 @default.
- W4213100682 hasConcept C94128290 @default.
- W4213100682 hasConceptScore W4213100682C10138342 @default.
- W4213100682 hasConceptScore W4213100682C105795698 @default.
- W4213100682 hasConceptScore W4213100682C149782125 @default.
- W4213100682 hasConceptScore W4213100682C159877910 @default.
- W4213100682 hasConceptScore W4213100682C162324750 @default.
- W4213100682 hasConceptScore W4213100682C180706569 @default.
- W4213100682 hasConceptScore W4213100682C32896092 @default.
- W4213100682 hasConceptScore W4213100682C33923547 @default.
- W4213100682 hasConceptScore W4213100682C38652104 @default.
- W4213100682 hasConceptScore W4213100682C41008148 @default.
- W4213100682 hasConceptScore W4213100682C60092789 @default.
- W4213100682 hasConceptScore W4213100682C61224824 @default.
- W4213100682 hasConceptScore W4213100682C91602232 @default.
- W4213100682 hasConceptScore W4213100682C94128290 @default.
- W4213100682 hasLocation W42131006821 @default.
- W4213100682 hasOpenAccess W4213100682 @default.
- W4213100682 hasPrimaryLocation W42131006821 @default.
- W4213100682 hasRelatedWork W2196322729 @default.
- W4213100682 hasRelatedWork W2911266508 @default.
- W4213100682 hasRelatedWork W3081449056 @default.
- W4213100682 hasRelatedWork W3121191409 @default.
- W4213100682 hasRelatedWork W3121443522 @default.
- W4213100682 hasRelatedWork W3142480208 @default.
- W4213100682 hasRelatedWork W3169399312 @default.
- W4213100682 hasRelatedWork W3185009217 @default.
- W4213100682 hasRelatedWork W4213100682 @default.
- W4213100682 hasRelatedWork W4254584810 @default.
- W4213100682 hasVolume "61" @default.
- W4213100682 isParatext "false" @default.
- W4213100682 isRetracted "false" @default.
- W4213100682 workType "article" @default.