Reference health
Real-time VaR Calculations for Crypto Derivatives in KDB /Q
28/28 checkable references clean · checked 2026-09-16
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
30 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 28 checked references that resolve
resolves10.1016/j.ejor.2022.07.037
Hedging with automatic liquidation and leverage selection on bitcoin futures
resolves10.1080/1351847X.2020.1869992
What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
resolves10.1145/3442381.3450059
Towards Understanding Cryptocurrency Derivatives:A Case Study of BitMEX
resolves10.1016/j.iimb.2012.09.001
Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk
resolves10.1016/j.frl.2021.102544
More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies
resolves10.1016/j.frl.2019.09.008
Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
resolves10.1016/j.irfa.2023.102651
Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks
resolves10.1111/j.1540-6261.1993.tb05128.x
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
resolves10.1080/713665670
Empirical properties of asset returns: stylized facts and statistical issues
resolves10.1016/j.eswa.2017.12.004
The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression
resolves10.2307/2527343
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
resolves10.1016/j.frl.2018.08.010
What can explain the price, volatility and trading volume of Bitcoin?
resolves10.1016/j.jeconom.2015.10.007
Exploiting the errors: A simple approach for improved volatility forecasting
resolves10.1016/j.jeconom.2018.05.004
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
resolves10.3150/bj/1116340299
On covariance estimation of non-synchronously observed diffusion processes
resolves10.1016/j.jeconom.2010.07.009
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
resolves10.3150/08-BEJ167
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
The 30 references without a DOI — listed, not checked
no DOI — not checkedref1
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no DOI — not checkedref6
no DOI — not checkedref7
no DOI — not checkedref8
no DOI — not checkedref9
no DOI — not checkedValue-at-Risk
no DOI — not checkedAsymmetric volatility in cryptocurrencies
no DOI — not checkedVolatility models for cryptocurrencies and applications in the options market
no DOI — not checkedDynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
no DOI — not checkedVolatility persistence in cryptocurrency markets under structural breaks
no DOI — not checkedEstimation and forecast
no DOI — not checkedA simple approximate long-memory model of realized volatility
no DOI — not checkedref30
no DOI — not checkedForecasting volatility of Bitcoin
no DOI — not checkedForecasting Bitcoin volatility: The role of leverage effect and uncertainty
no DOI — not checkedComovements in Stock Prices in the Very Short Run
no DOI — not checkedref40
no DOI — not checkedref41
no DOI — not checkedRisks and Returns of Cryptocurrency
no DOI — not checkedref43
no DOI — not checkedHigh-dimensional copula-based distributions with mixed frequency data
no DOI — not checkedEvaluating Value at Risk Methodologies: Accuracy versus Computational Time
no DOI — not checkedThe practice of Delta-Gamma VaR: Implementing the quadratic portfolio model
no DOI — not checkedComputation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR
no DOI — not checkedref51
no DOI — not checkedref52
no DOI — not checkedVast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
no DOI — not checkedA User's Guide to the Cornish Fisher Expansion
no DOI — not checkedref56
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