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CryptoCopVaRES

This repository contains the data and codes used in Trucíos et al. (2020). Feel free to use the codes in your research. If you have any comment or suggestion, let me know.

After the publication of the paper, I submitted the R package RobGARCHBoot (Trucíos, 2020) where the robust GARCH estimator used in the paper is implemented (I did some improvements in the optimization of the robust procedure, so the results could be not exactly equal as in the paper but qualitatively the results should be the same).

Some lines of code should be changed manually according to the distribution used.

The CDVine package (used to perform the DVine copula) is no longer available on CRAN.

Your R version could be not compatible with older versions of CDVine.

References

  • Trucíos, C., Tiwari, A. K., & Alqahtani, F. (2020). Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach. Applied Economics, 52(24), 2580-2593.
  • Trucios, C. (2020).RobGARCHBoot: Robust Bootstrap Forecast Densities for GARCHModels. R package version 1.0.1

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