Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk

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...

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Bibliographic Details
Main Authors: Hellinton H. Takada, Sylvio X. Azevedo, Julio M. Stern, Celma O. Ribeiro
Format: Article
Language:English
Published: MDPI AG 2019-11-01
Series:Proceedings
Subjects:
entropy
conditional value at risk
cryptocurrency
Online Access:https://www.mdpi.com/2504-3900/33/1/7

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