create a website

A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Trucíos, Carlos ; Taylor, James W ; Trucios, Carlos.
In: Journal of Forecasting.
RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 71

References cited by this document

Cocites: 63

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

    Full description at Econpapers || Download paper

  2. Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao.
    In: Papers.
    RePEc:arx:papers:2508.16919.

    Full description at Econpapers || Download paper

  3. Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean.
    In: MPRA Paper.
    RePEc:pra:mprapa:121214.

    Full description at Econpapers || Download paper

  4. Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean.
    In: JRFM.
    RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302.

    Full description at Econpapers || Download paper

  5. Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar.
    In: Textos para discussão.
    RePEc:fgv:eesptd:567.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acereda, B., Leon, A., & Mora, J. (2020). Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting. Finance Research Letters, 33, 101181.

  2. Alexander, C., & Dakos, M. (2020). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188.

  3. Ardia, D., Bluteau, K., & Rüede, M. (2019). Regime changes in Bitcoin GARCH volatility dynamics. Finance Research Letters, 29, 266–271.

  4. Ardia, D., Bluteau, K., Boudt, K., & Catania, L. (2018). Forecasting risk with Markov‐switching GARCH models: A large‐scale performance study. International Journal of Forecasting, 34(4), 733–747.

  5. Ardia, D., Bluteau, K., Boudt, K., Catania, L., & Trottier, D.‐A. (2019). Markov‐switching GARCH models in R: The MSGARCH package. Journal of Statistical Software, 91(4), 1–38.
    Paper not yet in RePEc: Add citation now
  6. Ardia, D., Boudt, K., & Catania, L. (2019). Generalized autoregressive score models in R: The GAS package. Journal of Statistical Software, 88(6), 1–28.
    Paper not yet in RePEc: Add citation now
  7. Atiya, A. F. (2020). Why does forecast combination work so well? International Journal of Forecasting, 36(1), 197–200.
    Paper not yet in RePEc: Add citation now

  8. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3–30.

  9. Bartlett, M. S. (1946). On the theoretical specification and sampling properties of autocorrelated time‐series. Supplement to the Journal of the Royal Statistical Society, 8(1), 27–41.
    Paper not yet in RePEc: Add citation now

  10. Bauwens, L., Preminger, A., & Rombouts, J. V. K. (2010). Theory and inference for a Markov switching GARCH model. The Econometrics Journal, 13(2), 218–244.

  11. Bayer, S. (2018). Combining value‐at‐risk forecasts using penalized quantile regressions. Econometrics and Statistics, 8, 56–77.

  12. Bayer, S., & Dimitriadis, T. (2020). Regression based expected shortfall backtesting. Journal of Financial Econometrics, 20, 437–471.
    Paper not yet in RePEc: Add citation now

  13. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.

  14. Boudt, K., Danielsson, J., & Laurent, S. (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244–257.

  15. Bouri, E., Jalkh, N., Molnár, P., & Roubaud, D. (2017). Bitcoin for energy commodities before and after the December 2013 crash: Diversifier, hedge or safe haven? Applied Economics, 49(50), 5063–5073.
    Paper not yet in RePEc: Add citation now
  16. Buczyński, M., & Chlebus, M. (2019). Old‐fashioned parametric models are still the best: A comparison of value‐at‐risk approaches in several volatility states. Journal of Risk Model Validation, 14(2), 1–20.
    Paper not yet in RePEc: Add citation now
  17. Calmon, W., Ferioli, E., Lettieri, D., Soares, J., & Pizzinga, A. (2020). An extensive comparison of some well‐established value at risk methods. International Statistical Review, 89(1), 148–166.
    Paper not yet in RePEc: Add citation now
  18. Caporale, G. M., & Zekokh, T. (2019). Modelling volatility of cryptocurrencies using Markov‐switching GARCH models. Research in International Business and Finance, 48, 143–155.
    Paper not yet in RePEc: Add citation now

  19. Carnero, M. A., Peña, D., & Ruiz, E. (2012). Estimating GARCH volatility in the presence of outliers. Economics Letters, 114(1), 86–90.

  20. Christoffersen, P. F. (1998). Evaluating interval forecasts. International Economic Review, 39(4), 841–862.
    Paper not yet in RePEc: Add citation now

  21. Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28(5), 777–795.

  22. Danielsson, J. (2011). Risk and crises. voxeu.org url:. http://voxeu.org/article/risk-and-crises-how-models-failed-and-are-failing.
    Paper not yet in RePEc: Add citation now
  23. Dimitriadis, T., & Bayer, S. (2019). A joint quantile and expected shortfall regression framework. Electronic Journal of Statistics, 13(1), 1823–1871.
    Paper not yet in RePEc: Add citation now

  24. Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar—A GARCH volatility analysis. Finance Research Letters, 16, 85–92.

  25. Engle, R. F., & Manganelli, S. (2004). CAViaR: Conditional autoregressive value at risk by regression quantiles. Journal of Business & Economic Statistics, 22(4), 367–381.

  26. Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749–1778.

  27. Fissler, T., & Ziegel, J. (2016). Higher order elicitability and Osband's principle. The Annals of Statistics, 44(4), 1680–1707.
    Paper not yet in RePEc: Add citation now
  28. Fissler, T., Ziegel, J. F., & Gneiting, T. (2016). Expected Shortfall is jointly elicitable with value at risk—Implications for backtesting. Risk, 5(1), 8–16.
    Paper not yet in RePEc: Add citation now

  29. Francq, C., & Zakoïan, J.‐M. (2009). Bartlett's formula for a general class of nonlinear processes. Journal of Time Series Analysis, 30(4), 449–465.

  30. Gaglianone, W. P., Lima, L. R., Linton, O., & Smith, D. R. (2011). Evaluating value‐at‐risk models via quantile regression. Journal of Business & Economic Statistics, 29(1), 150–160.
    Paper not yet in RePEc: Add citation now
  31. Ghalanos, A. (2020). rugarch: Univariate GARCH models. R package version 1.4‐4.
    Paper not yet in RePEc: Add citation now

  32. Giacomini, R., & Komunjer, I. (2005). Evaluation and combination of conditional quantile forecasts. Journal of Business & Economic Statistics, 23(4), 416–431.

  33. Giacomini, R., & Rossi, B. (2010). Forecast comparisons in unstable environments. Journal of Applied Econometrics, 25(4), 595–620.

  34. Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801.

  35. González‐Rivera, G., Lee, T.‐H., & Mishra, S. (2004). Forecasting volatility: A reality check based on option pricing, utility function, value‐at‐risk, and predictive likelihood. International Journal of Forecasting, 20(4), 629–645.

  36. Haas, M., Mittnik, S., & Paolella, M. S. (2004). A new approach to markov‐switching GARCH models. Journal of Financial Econometrics, 2(4), 493–530.

  37. Halbleib, R., & Pohlmeier, W. (2012). Improving the value at risk forecasts: Theory and evidence from the financial crisis. Journal of Economic Dynamics and Control, 36(8), 1212–1228.

  38. Hallin, M., & Trucíos, C. (2021). Forecasting value‐at‐risk and expected shortfall in large portfolios: A general dynamic factor model approach. Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2021.04.006.
    Paper not yet in RePEc: Add citation now

  39. Hansen, P. R., Lunde, A., & Nason, J. M. (2011). The model confidence set. Econometrica, 79(2), 453–497.

  40. Happersberger, D., Lohre, H., & Nolte, I. (2020). Estimating portfolio risk for tail risk protection strategies. European Financial Management, 26, 1107–1146.

  41. Harvey, A. C. (2013). Dynamic models for volatility and heavy tails: With applications to financial and economic time series, Vol. 52: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  42. Hill, G. W. (1970). Algorithm 396: Student's t‐quantiles. Communications of the ACM, 13(10), 619–620.
    Paper not yet in RePEc: Add citation now

  43. Hillebrand, E. (2005). Neglecting parameter changes in GARCH models. Journal of Econometrics, 129(1‐2), 121–138.

  44. Hoogerheide, L., & van Dijk, H. K. (2010). Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling. International Journal of Forecasting, 26(2), 231–247.

  45. Hotta, L. K., & Trucíos, C. (2018). Inference in (M)GARCH models in the presence of additive outliers: Specification, estimation and prediction, Advances in mathematics and applications: Springer, pp. 179–202.
    Paper not yet in RePEc: Add citation now
  46. Koenker, R., & Machado, J. A. F. (1999). Goodness of fit and related inference processes for quantile regression. Journal of the American Statistical Association, 94(448), 1296–1310.
    Paper not yet in RePEc: Add citation now
  47. Li, Z., Dong, H., Floros, C., Charemis, A., & Failler, P. (2021). Re‐examining bitcoin volatility: A CAViaR‐based approach. Emerging Markets Finance and Trade, 58(5), 1320–1338.
    Paper not yet in RePEc: Add citation now
  48. Liu, W., Semeyutin, A., Lau, C. K. M., & Gozgor, G. (2020). Forecasting value‐at‐risk of cryptocurrencies with riskmetrics type models. Research in International Business and Finance, 54, 101259.
    Paper not yet in RePEc: Add citation now
  49. Lu, X., Liu, C., Lai, K. K., & Cui, H. (2021). Risk measurement in Bitcoin market by fusing LSTM with the joint‐regression‐combined forecasting model. Kybernetes. https://doi.org/10.1108/K-07-2021-0620.
    Paper not yet in RePEc: Add citation now

  50. Luther, W. J., & Salter, A. W. (2017). Bitcoin and the bailout. The Quarterly Review of Economics and Finance, 66, 50–56.

  51. Maciel, L. (2020). Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting? International Journal of Finance & Economics, 26, 4840–4855.
    Paper not yet in RePEc: Add citation now
  52. Manganelli, S., & Engle, R. F. (2004). A comparison of value‐at‐risk models in finance, Risk measures for the 21st century. Chichester: Wiley, pp. 123–144.
    Paper not yet in RePEc: Add citation now
  53. McAleer, M., Jimenez‐Martin, J.‐A., & Perez‐Amaral, T. (2013a). GFC‐ risk management strategies under the Basel accord. International Review of Economics & Finance, 27, 97–111.
    Paper not yet in RePEc: Add citation now
  54. McAleer, M., Jiménez‐Martín, J.‐A., & Pérez‐Amaral, T. (2013b). International evidence on GFC‐forecasts for risk management under the Basel accord. Journal of Forecasting, 32(3), 267–288.
    Paper not yet in RePEc: Add citation now

  55. McNeil, A. J., & Frey, R. (2000). Estimation of tail‐related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance, 7(3‐4), 271–300.

  56. Nakamoto, S. (2008). Bitcoin: A peer‐to‐peer electronic cash system.
    Paper not yet in RePEc: Add citation now

  57. Nieto, M. R., & Ruiz, E. (2016). Frontiers in VaR forecasting and backtesting. International Journal of Forecasting, 32(2), 475–501.

  58. Nolde, N., Ziegel, J. F., et al. (2017). Elicitability and backtesting: Perspectives for banking regulation. The Annals of Applied Statistics, 11(4), 1833–1874.

  59. Piessens, R., de Doncker‐Kapenga, E., Überhuber, C. W., & Kahaner, D. K. (2012). Quadpack: A subroutine package for automatic integration, Vol. 1: Springer Science & Business Media.
    Paper not yet in RePEc: Add citation now

  60. Righi, M. B., & Ceretta, P. S. (2015). A comparison of expected shortfall estimation models. Journal of Economics and Business, 78, 14–47.

  61. Soylu, P. K., Okur, M., Çatıkkaş, O., & Altintig, Z. A. (2020). Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple. Journal of Risk and Financial Management, 13(6), 107.

  62. Taylor, J. W. (2019). Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution. Journal of Business & Economic Statistics, 37(1), 121–133.

  63. Taylor, J. W. (2020). Forecast combinations for value at risk and expected shortfall. International Journal of Forecasting, 36(2), 428–441.

  64. Thomson, M. E., Pollock, A. C., Önkal, D., & Gönül, M. S. (2019). Combining forecasts: Performance and coherence. International Journal of Forecasting, 35(2), 474–484.

  65. Timmermann, A. (2006). Forecast combinations. Handbook of Economic Forecasting, 1, 135–196.

  66. Troster, V., Tiwari, A. K., Shahbaz, M., & Macedo, D. N. (2019). Bitcoin returns and risk: A general GARCH and GAS analysis. Finance Research Letters, 30, 187–193.

  67. Trucíos, C. (2019). Forecasting Bitcoin risk measures: A approach. International Journal of Forecasting, 35(3), 836–847.

  68. Trucios, C. (2020). RobGARCHBoot: Robust bootstrap forecast densities for GARCH models.
    Paper not yet in RePEc: Add citation now

  69. Trucíos, C., & Hotta, L. K. (2016). Bootstrap prediction in univariate volatility models with leverage effect. Mathematics and Computers in Simulation, 120, 91–103.

  70. Trucíos, C., Hotta, L. K., & Ruiz, E. (2015). Robust bootstrap forecast densities for GARCH models: Returns, volatilities and value‐at‐risk. UC3M Working Papers Statistics and Econometrics, 15(22).

  71. Trucíos, C., Hotta, L. K., & Ruiz, E. (2017). Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation, 87(16), 3152–3174.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers. (2025). Perlin, Marcelo Scherer ; Mller, Fernanda Maria ; Almeida, Lucas Mussoi.
    In: Computational Economics.
    RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10585-6.

    Full description at Econpapers || Download paper

  2. The GARCH-EVT-Copula Approach to Investigating Dependence and Quantifying Risk in a Portfolio of Bitcoin and the South African Rand. (2024). Chikobvu, Delson ; Ndlovu, Thabani.
    In: JRFM.
    RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:504-:d:1517218.

    Full description at Econpapers || Download paper

  3. Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models. (2024). Shahzad, Umer ; Tiwari, Sunil ; Mahendru, Mandeep ; Cheng, Jiyang ; Khaled, Djebbouri.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006236.

    Full description at Econpapers || Download paper

  4. Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality. (2024). Galati, Luca.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001390.

    Full description at Econpapers || Download paper

  5. A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Trucíos, Carlos ; Taylor, James W ; Trucios, Carlos.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

    Full description at Econpapers || Download paper

  6. Higher moment connectedness of cryptocurrencies: a time-frequency approach. (2023). Seetharam, Yudhvir ; Nyakurukwa, Kingstone.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09627-w.

    Full description at Econpapers || Download paper

  7. Fundamental and speculative components of the cryptocurrency pricing dynamics. (2023). Kukacka, Jiri ; Krištoufek, Ladislav.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00465-7.

    Full description at Econpapers || Download paper

  8. When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?. (2023). Duc, Toan Luu.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-021-10230-6.

    Full description at Econpapers || Download paper

  9. FTXs downfall and Binances consolidation: the fragility of centralised digital finance. (2023). Vidal-Tomás, David ; Aste, Tomaso ; Vidal-Tomas, David ; Briola, Antonio.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:119902.

    Full description at Econpapers || Download paper

  10. Network effects and store-of-value features in the cryptocurrency market. (2023). Luo, Xiaojun ; Bakhtiar, Tiam ; Adelopo, Ismail.
    In: Technology in Society.
    RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252.

    Full description at Econpapers || Download paper

  11. Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods. (2023). Ebrahimi, Seyed Babak ; Karimi, Parinaz ; Ghazani, Majid Mirzaee.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005986.

    Full description at Econpapers || Download paper

  12. Arbitrage in the market for cryptocurrencies. (2023). Crepelliere, Tommy ; Zeisberger, Stefan ; Pelster, Matthias.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000150.

    Full description at Econpapers || Download paper

  13. Is Bitcoin used to evade financial sanction?. (2023). Zhao, Jinsha ; Miao, Jia.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:55:y:2023:i:pb:s154461232300377x.

    Full description at Econpapers || Download paper

  14. Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data. (2023). Krekel, William ; Mollica, Vito ; Foley, Sean ; Svec, Jiri.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005785.

    Full description at Econpapers || Download paper

  15. Anatomy of a Stablecoin’s failure: The Terra-Luna case. (2023). Vidal-Tomás, David ; Wang, Yuanrong ; Aste, Tomaso ; Vidal-Tomas, David ; Briola, Antonio.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005359.

    Full description at Econpapers || Download paper

  16. On the topology of cryptocurrency markets. (2023). Rudkin, Simon ; Dotko, Pawe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002752.

    Full description at Econpapers || Download paper

  17. Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089.

    Full description at Econpapers || Download paper

  18. FTXs downfall and Binances consolidation: The fragility of centralised digital finance. (2023). Aste, Tomaso ; Vidal-Tom, David ; Briola, Antonio.
    In: Papers.
    RePEc:arx:papers:2302.11371.

    Full description at Econpapers || Download paper

  19. Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum. (2022). Sobanski, Konrad ; Katarzyna, Wosik ; Wojciech, Wider ; Blanka, T ; Konrad, Sobaski.
    In: International Journal of Management and Economics.
    RePEc:vrs:ijomae:v:58:y:2022:i:4:p:351-370:n:6.

    Full description at Econpapers || Download paper

  20. Predictability of cryptocurrency returns: evidence from robust tests. (2022). Rustam, Ibragimov ; Siyun, HE.
    In: Dependence Modeling.
    RePEc:vrs:demode:v:10:y:2022:i:1:p:191-206:n:5.

    Full description at Econpapers || Download paper

  21. Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Wu, Fan ; Fang, Fan ; Martinez-Rego, David ; Ventre, Carmine ; Basios, Michail ; Li, Lingbo.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6.

    Full description at Econpapers || Download paper

  22. Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. (2022). Özdemir, Onur.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00319-0.

    Full description at Econpapers || Download paper

  23. Cryptocurrencies and stablecoins: a high-frequency analysis. (2022). Moncayo, Giancarlo Giuffra ; Barucci, Emilio ; Marazzina, Daniele.
    In: Digital Finance.
    RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9.

    Full description at Econpapers || Download paper

  24. Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines.
    In: Risk Management.
    RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5.

    Full description at Econpapers || Download paper

  25. A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View. (2022). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:5:p:107-:d:819454.

    Full description at Econpapers || Download paper

  26. Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data. (2022). Kaid, Zoulikha ; Rachdi, Mustapha ; Ait-Hennani, Larbi ; Laksaci, Ali.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:23:p:4508-:d:987723.

    Full description at Econpapers || Download paper

  27. Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach. (2022). Bruhn, Pascal ; Ernst, Dietmar.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:346-:d:880717.

    Full description at Econpapers || Download paper

  28. Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond. (2022). Wang, Yanchen ; Tang, Tao.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:64:y:2022:i:c:s1042444x22000019.

    Full description at Econpapers || Download paper

  29. Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894.

    Full description at Econpapers || Download paper

  30. Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach. (2022). Ke, Rui ; Yang, Luyao ; Tan, Changchun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003129.

    Full description at Econpapers || Download paper

  31. Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk. (2022). Righi, Marcelo ; Gossling, Thalles Weber ; Santos, Samuel Solgon ; Muller, Fernanda Maria.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001878.

    Full description at Econpapers || Download paper

  32. Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices. (2022). Yarovaya, Larisa ; Gözgör, Giray ; Elsayed, Ahmed ; Gozgor, Giray.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000551.

    Full description at Econpapers || Download paper

  33. When Tether says “JUMP!” Bitcoin asks “How low?”. (2022). Duc, Toan Luu ; Grobys, Klaus.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005778.

    Full description at Econpapers || Download paper

  34. Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomás, David ; Vidal-Tomas, David.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

    Full description at Econpapers || Download paper

  35. Anatomy of a Stablecoins failure: the Terra-Luna case. (2022). Wang, Yuanrong ; Aste, Tomaso ; Vidal-Tom, David ; Briola, Antonio.
    In: Papers.
    RePEc:arx:papers:2207.13914.

    Full description at Econpapers || Download paper

  36. Net Buying Pressure and the Information in Bitcoin Option Trades. (2022). Alexander, Carol ; Deng, Jun ; Feng, Jianfen ; Wan, Huning.
    In: Papers.
    RePEc:arx:papers:2109.02776.

    Full description at Econpapers || Download paper

  37. Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. (2021). Neslihanoglu, Serdar.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00247-z.

    Full description at Econpapers || Download paper

  38. A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208.

    Full description at Econpapers || Download paper

  39. The entry and exit dynamics of the cryptocurrency market. (2021). Vidal-Tomás, David ; Vidal-Tomas, David.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001252.

    Full description at Econpapers || Download paper

  40. Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Yinusa, Olalekan ; Adediran, Idris ; Lakhani, Kanwal Hammad.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624.

    Full description at Econpapers || Download paper

  41. Volatility models for cryptocurrencies and applications in the options market. (2021). Chi, Yeguang ; Hao, Wenyan.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001359.

    Full description at Econpapers || Download paper

  42. Cyber-attacks, spillovers and contagion in the cryptocurrency markets. (2021). Spagnolo, Fabio ; Caporale, Guglielmo Maria ; Kang, Woo-Young.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000172.

    Full description at Econpapers || Download paper

  43. Does blockchain patent-development influence Bitcoin risk?. (2021). Oxley, Les ; HU, YANG ; Corbet, Shaen ; Hou, Yang.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301475.

    Full description at Econpapers || Download paper

  44. One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925.

    Full description at Econpapers || Download paper

  45. The Bitcoin gold correlation puzzle. (2021). Hoang, Lai ; Baur, Dirk G.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001052.

    Full description at Econpapers || Download paper

  46. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Todorova, Neda.
    In: Applied Energy.
    RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

    Full description at Econpapers || Download paper

  47. WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407.

    Full description at Econpapers || Download paper

  48. Compensatory model for quantile estimation and application to VaR. (2021). Yang, Shuzhen.
    In: Papers.
    RePEc:arx:papers:2112.07278.

    Full description at Econpapers || Download paper

  49. Exchange Market Liquidity Prediction with the K-Nearest Neighbor Approach: Crypto vs. Fiat Currencies. (2020). Mongrut, Samuel ; del Pilar, Martha ; Cortez, Klender.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2020:i:1:p:56-:d:470101.

    Full description at Econpapers || Download paper

  50. Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. (2020). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard J.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304438.

    Full description at Econpapers || Download paper

  51. Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Abakah, Emmanuel ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691.

    Full description at Econpapers || Download paper

  52. Gold, platinum, and expected Bitcoin returns. (2020). Burggraf, Tobias ; Duc, Toan Luu ; Wang, Mei.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

    Full description at Econpapers || Download paper

  53. Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. (2020). Conlon, Thomas ; McGee, Richard.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244.

    Full description at Econpapers || Download paper

  54. What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; HU, YANG ; Hou, Yang Greg.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

    Full description at Econpapers || Download paper

  55. Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data. (2020). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed ; Wanas, Idries Mohammad.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301777.

    Full description at Econpapers || Download paper

  56. The impact of blockchain related name changes on corporate performance. (2020). Yarovaya, Larisa ; Sensoy, Ahmet ; Corbet, Shaen ; Akyildirim, Erdinc.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030.

    Full description at Econpapers || Download paper

  57. Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets. (2020). Spagnolo, Fabio ; Caporale, Guglielmo Maria ; Kang, Woo-Young.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8324.

    Full description at Econpapers || Download paper

  58. A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Chi, Yeguang ; Hao, Wenyan.
    In: Papers.
    RePEc:arx:papers:2010.07402.

    Full description at Econpapers || Download paper

  59. Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M.
    In: Papers.
    RePEc:arx:papers:2009.05652.

    Full description at Econpapers || Download paper

  60. From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Gallo, Angela ; Lucchini, Lorenzo ; Alessandretti, Laura ; Lepri, Bruno ; Baronchelli, Andrea.
    In: Papers.
    RePEc:arx:papers:2004.07290.

    Full description at Econpapers || Download paper

  61. Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi.
    In: Papers.
    RePEc:arx:papers:2003.09723.

    Full description at Econpapers || Download paper

  62. One model is not enough: heterogeneity in cryptocurrencies multifractal profiles. (2020). Fernandez Bariviera, Aurelio.
    In: Papers.
    RePEc:arx:papers:2003.09720.

    Full description at Econpapers || Download paper

  63. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 20:13:35 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.