Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
Year of publication: |
2021
|
---|---|
Authors: | Qiu, Yue ; Wang, Yifan ; Xie, Tian |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 208.2021, p. 1-5
|
Subject: | Bitcoin | Common correlated effect | Heterogeneous autoregression | Volatility forecasting | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Spillover-Effekt | Spillover effect | Korrelation | Correlation | ARCH-Modell | ARCH model | Börsenkurs | Share price |
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