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Keywords: GAS
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Journal Articles
International Journal of Emerging Markets (2022) 17 (9): 2290–2320.
Published: 02 March 2021
... on the hedging potential of cryptocurrencies and gold. Design/methodology/approach The authors used the generalized autoregressive score (GAS) models to model and forecast the risk of cryptocurrencies, stock market indices and gold returns. They conduct different backtesting procedures of the 1% and 5%-value...
