Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk
Conditional value at risk (CVaR), or expected shortfall, is a risk measure for investments according to Rockafellar and Uryasev. Yamai and Yoshiba define CVaR as the conditional expectation of loss given that the loss is beyond the value at risk (VaR) level. The VaR is a risk measure that represents...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-11-01
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| Series: | Proceedings |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3900/33/1/7 |