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1:00 pm
January 24 @ 1:00 pm - 2:00 pm CST

Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies

via Zoom

Speaker: Prof. Piotr Fiszeder, Dept. Econ. & Stat., Nicolaus Copernicus Univ., Torun, Poland Abstract: Traditional volatility models do not work well when volatility changes rapidly and in the presence of […]

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