4.6 Article

Using High-Frequency Entropy to Forecast Bitcoin's Daily Value at Risk

Related references

Note: Only part of the references are listed.
Article Economics

Can cryptocurrencies be a safe haven: a tail risk perspective analysis

Wenjun Feng et al.

APPLIED ECONOMICS (2018)

Article Business, Finance

CRIX an Index for cryptocurrencies

Simon Trimborn et al.

JOURNAL OF EMPIRICAL FINANCE (2018)

Article Business, Finance

Value-at-risk and related measures for the Bitcoin

Stavros Stavroyiannis

JOURNAL OF RISK FINANCE (2018)

Article Economics

Some stylized facts of the cryptocurrency market

Wei Zhang et al.

APPLIED ECONOMICS (2018)

Article Physics, Multidisciplinary

Information Entropy and Measures of Market Risk

Daniel Traian Pele et al.

ENTROPY (2017)

Article Business, Finance

GARCH Modelling of Cryptocurrencies

Jeffrey Chu et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2017)

Article Economics

A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR

Joerg Osterrieder et al.

ANNALS OF FINANCIAL ECONOMICS (2017)

Article Business, Finance

An entropy-based early warning indicator for systemic risk

Monica Billio et al.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2016)

Article Physics, Fluids & Plasmas

Permutation-information-theory approach to unveil delay dynamics from time-series analysis

L. Zunino et al.

PHYSICAL REVIEW E (2010)

Article Business, Finance

The informational efficiency and the financial crashes

Wiston Adrian Risso

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2008)

Review Instruments & Instrumentation

A review of symbolic analysis of experimental data

CS Daw et al.

REVIEW OF SCIENTIFIC INSTRUMENTS (2003)

Article Physics, Multidisciplinary

Permutation entropy: A natural complexity measure for time series

C Bandt et al.

PHYSICAL REVIEW LETTERS (2002)