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q-fin.RM2017
Value-at-Risk and Expected Shortfall for the major digital currencies
Stavros Stavroyiannis
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value…
q-fin.ST2017
A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?
Stavros Stavroyiannis
The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced…