TY  - JOUR 
AU  - Jiménez Jiménez, María Inés
AU  - Mora Valencia, Andrés
AU  - Perote Peña, Javier
PY  - 2020
SN  - 0167-6377
UR  - http://hdl.handle.net/10366/161229
AB  - [EN] This paper introduces a semi-nonparametric approach for modeling Bitcoin risk relatively to other parametric distributions and volatility models. Model performance is assessed through different backtesting techniques, including multinomial test,...
LA  - eng
PB  - Elsevier
KW  - Cryptocurrencies
KW  - Gram-Charlier
KW  - Median shortfall
KW  - Bacltesting
KW  - GAS models
KW  - Robust GARCH
TI  - Risk quantification and validation for Bitcoin
DO  - 10.1016/j.orl.2020.06.004
T2  - Operations Research Letters
VL  - 48
M2  - 534
ER  -