Browsing UiS Brage by Journals "Economic Modelling"
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Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
(Peer reviewed; Journal article, 2024-12)Traditional volatility models do not work well when volatility changes rapidly and in the presence of outliers. Therefore, two lines of improvements have been developed separately in the existing literature. Range-based ...