Crypto-Coins and credit risk: Modelling and forecasting their probability of death
D Fantazzini - Journal of Risk and Financial Management, 2022 - mdpi.com
This paper examined a set of over two thousand crypto-coins observed between 2015 and
2020 to estimate their credit risk by computing their probability of death. We employed …
2020 to estimate their credit risk by computing their probability of death. We employed …
Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets
D Fantazzini - Journal of Risk and Financial Management, 2024 - mdpi.com
This paper investigates the estimation of the value at risk (VaR) across various probability
levels for the log-returns of a comprehensive dataset comprising four thousand crypto …
levels for the log-returns of a comprehensive dataset comprising four thousand crypto …
The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades
D Fantazzini, T Shangina - Прикладная эконометрика, 2019 - cyberleninka.ru
This paper focuses on the forecasting of market risk measures for the Russian RTS index
future, and examines whether augmenting a large class of volatility models with implied …
future, and examines whether augmenting a large class of volatility models with implied …
Melhoramentos inferenciais no modelo Beta-Skew-t-EGARCH
FM Muller - 2016 - repositorio.ufsm.br
MELHORAMENTOS INFERENCIAIS NO MODELO BETA-SKEW-T-EGARCH AUTORA:
FERNANDA MARIA MÜLLER ORIENTADOR: FÁBIO MARIANO BAYER Local da Defesa e …
FERNANDA MARIA MÜLLER ORIENTADOR: FÁBIO MARIANO BAYER Local da Defesa e …
Avaliaçoes numéricas das inferências no modelo Beta-Skew-t-EGARCH
FM Muller, FM Bayer - Brazilian Review of Finance, 2015 - periodicos.fgv.br
Abstract The Beta-Skew-t-EGARCH model was recently proposed in literature to model the
volatility of financial returns. The inferences over the parameters of the model are based on …
volatility of financial returns. The inferences over the parameters of the model are based on …
Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models/Avaliacoes numericas das inferencias no modelo Beta-Skew-t-EGARCH.
FM Muller, FM Bayer - Revista Brasileira de Financas, 2015 - go.gale.com
O modelo Beta-Skew-t-EGARCH foi recentemente proposto para modelar a volatilidade de
retornos financeiros. A estimacao dos parametros do modelo e feita via maxima …
retornos financeiros. A estimacao dos parametros do modelo e feita via maxima …