Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Chia-Yen Tan, You-Beng Koh, Kok-Haur Ng, Kooi-Huat Ng
Year of publication: |
2021
|
---|---|
Authors: | Tan, Chia-Yen ; Koh, You-Beng ; Ng, Kok-Haur ; Ng, Kooi-Huat |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 56.2021, p. 1-17
|
Subject: | Bitcoin | GARCH model | Markov-switching | Time-varying transition probability | Volatility | Volatilität | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Haas, Markus, (2018)
-
Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria, (2018)
-
Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria, (2018)
- More ...