Empirical analysis of bitcoin prices using threshold time series models
Year of publication: |
December 2018
|
---|---|
Authors: | Guzman, Rodolfo Angelo Magtanggol III de ; So, Mike Ka-pui |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 13.2018, 4, p. 1-24
|
Subject: | Bitcoin | blockchain | cryptocurrency | GARCH | Markov chain Monte Carlo | non-linear time series models | Zeitreihenanalyse | Time series analysis | Virtuelle Währung | Virtual currency | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model |
-
Volatility estimation for cryptocurrencies using Markov-switching GARCH models
Silva, Paulo Vitor Jordão da Gama, (2019)
-
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David, (2019)
-
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony, (2019)
- More ...
-
Dynamic causality analysis of COVID-19 pandemic risk and oil market changes
So, Mike Ka-pui, (2022)
-
On a threshold heteroscedastic model
Chen, Cathy W. S., (2006)
-
Dynamic modeling of tail risk : applications to China, Hong Kong and other Asian markets
So, Mike Ka-pui, (2009)
- More ...