Asymmetric volatility in the cryptocurrency market : new evidence from models with structural breaks
Year of publication: |
2023
|
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Authors: | Aharon, David Y. ; Butt, Hassan Anjum ; Jaffri, Ali ; Nichols, Brian |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-13
|
Subject: | Cryptocurrencies | Asymmetric volatility | Structural breaks | Volatility persistence | Volatilität | Volatility | Strukturbruch | Structural break | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model |
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