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Value-at-risk and related measures for the Bitcoin
16 references·14 citing·33 second hop
Value-at-risk and related measures for the Bitcoin (2018)Value-at-risk and related measures for th…Why is gold a safe haven? (2016)Why is gold a safe haven?On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (2013)Testing for Multiple Bubbles:…BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era (2013)BitCoin meets Google Trends a…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…Backtesting Value-at-Risk: A Duration-Based Approach (2004)Backtesting Value-at-Risk: A …Selection of Value‐at‐Risk models (2003)Selection of Value‐at‐Risk mo…On the coherence of expected shortfall (2002)On the coherence of expected …Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks (2023)Asymmetric volatility in the …On the volatility of cryptocurrencies (2022)On the volatility of cryptocu…Is it possible to establish the link between drug busts and the cryptocurrency market? Yes, we can (2022)Is it possible to establish t…The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies (2021)The predictive capacity of GA…Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions (2021)Revisiting value-at-risk and …Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (2020)Skewed non-Gaussian GARCH mod…Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple (2020)Long Memory in the Volatility…Bitcoin option pricing with a SETAR-GARCH model (2020)Bitcoin option pricing with a…Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019)Value-at-risk and expected sh…Using High-Frequency Entropy to Forecast Bitcoin’s Daily Value at Risk (2019)Using High-Frequency Entropy …On the investment credentials of Bitcoin: A cross-currency perspective (2019)On the investment credentials…Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting (2019)Estimating the expected short…Bitcoin at High Frequency (2019)Bitcoin at High FrequencyA multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies (2019)A multivariate approach for t…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A CNN–LSTM model for gold price time-series forecasting (2020)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2013BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era859 cited
  • 2004Backtesting Value-at-Risk: A Duration-Based Approach403 cited
  • 2016Why is gold a safe haven?272 cited
  • 2013Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500257 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited

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  • 2003Selection of Value‐at‐Risk models190 cited
  • Cited by

    • 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach69 cited
    • 2021The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies63 cited
    • 2020Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple60 cited
    • 2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling52 cited
    • 2020Bitcoin option pricing with a SETAR-GARCH model44 cited
    • 2022On the volatility of cryptocurrencies43 cited
    • 2019On the investment credentials of Bitcoin: A cross-currency perspective42 cited
    • 2019Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting37 cited
    • 2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions37 cited
    • 2019Bitcoin at High Frequency33 cited
    • 2023Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks32 cited
    • 2019Using High-Frequency Entropy to Forecast Bitcoin’s Daily Value at Risk30 cited
    • 2022Is it possible to establish the link between drug busts and the cryptocurrency market? Yes, we can30 cited
    • 2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies29 cited