Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
Yue Qiu, Yifan Wang, Tian Xie
| Year of publication: |
2021
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|---|---|
| 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
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| Subject: | Bitcoin | Common correlated effect | Heterogeneous autoregression | Volatility forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Spillover-Effekt | Spillover effect | Virtuelle Währung | Virtual currency | Korrelation | Correlation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.110092 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013207252