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Volatility Modelling and VaR: The Case of Bitcoin, Ether and Ripple Cover

Volatility Modelling and VaR: The Case of Bitcoin, Ether and Ripple

DANUBE
Volume 11 (2020): Issue 3 (September 2020)
By: Jakub Ječmínek,  Gabriela Kukalová and  Lukáš Moravec  
Open Access
|Oct 2020

Authors

Jakub Ječmínek

jecminek@pef.czu.cz

Czech University of Life Sciences Prague, Praha, Czech Republic

Gabriela Kukalová

kukalova@pef.czu.cz

Czech University of Life Sciences Prague, Praha, Czech Republic

Lukáš Moravec

moravec@pef.czu.cz

Czech University of Life Sciences Prague, Praha, Czech Republic
DOI: https://doi.org/10.2478/danb-2020-0015 | Journal eISSN: 1804-8285 | Journal ISSN: 1804-6746
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Language: English
Page range: 253 - 269
Published on: Oct 17, 2020
Published by: European Association Comenius - EACO
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
Cryptocurrency,
Volatility,
Value-at-risk,
VaR,
Geometric Brownian Motion,
GARCH
Related subjects:
Business and economics,
Political economics,
Macroeconomics,
Economic policy,
Law,
European law,
European law, other,
Law, other

© 2020 Jakub Ječmínek, Gabriela Kukalová, Lukáš Moravec, published by European Association Comenius - EACO
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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