Michael Dakos

University of Sussex Business School

Falmer, Brighton BN1 9SL

United Kingdom

  • University of Sussex Business School

SCHOLARLY PAPERS

2

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896

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10

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Scholarly Papers (2)

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1.

A Critical Investigation of Cryptocurrency Data and Analysis

Number of pages: 22 Posted: 13 May 2019
Carol Alexander and Michael Dakos
University of Sussex Business School and University of Sussex Business School
Downloads 787 (44,347)
Citation 15

Abstract:

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Cryptocurrency, Market Beta, Markov Switching GARCH, Price Data, Volatility

2.

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Number of pages: 50 Posted: 20 Apr 2022
Carol Alexander and Michael Dakos
University of Sussex Business School and University of Sussex Business School
Downloads 109 (339,069)

Abstract:

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Volatility clustering, Conditional VaR, Continuous ranked probability score, Energy score, Traffic light tests