Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?

2020 ◽  
Author(s):  
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Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Expected Shortfall ◽  
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Value at Risk and Expected Shortfall under Regime Switching

2004 ◽  
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Massimo Guidolin
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At Risk ◽  
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scholarly journals Analytical Value-at-Risk and Expected Shortfall under regime-switching

2009 ◽  
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pp. 138-151 ◽  
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Regime Switching ◽  
Value At Risk ◽  
Expected Shortfall

Regime-Switching Processes and Mean-Reverting Volatility Models in Value-at-Risk Estimation: Evidence from the Taiwan Stock Index

2019 ◽  
Vol 56 (12) ◽  
pp. 2693-2710
Author(s):  
Yi-Wen Chen ◽  
Chu-Bin Lin ◽  
Anthony H. Tu
Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Risk Estimation ◽  
Stock Index ◽  
Volatility Models

Estimation risk for value-at-risk and expected shortfall

2018 ◽  
Author(s):  
Paul Kabaila ◽  
Rheanna Mainzer
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At Risk ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Estimation Risk

Expected Shortfall – An Alternative Risk Measure to Value-at-Risk

2020 ◽  
Author(s):  
Shiu-Wah Chu ◽  
Ritabrata Bhattacharyya
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Measure ◽  
Expected Shortfall
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