High frequency volatility co-movements in cryptocurrency markets
Year of publication: |
2019
|
---|---|
Authors: | Katsiampa, Paraskevi ; Corbet, Shaen ; Lucey, Brian M. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 62.2019, p. 35-52
|
Subject: | Asymmetric Diagonal BEKK | Cryptocurrencies | High-frequency data | MGARCH | Volatility | Volatilität | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Elektronisches Handelssystem | Electronic trading |
-
An empirical investigation of volatility dynamics in the cryptocurrency market
Katsiampa, Paraskevi, (2019)
-
Informational inefficiency of Bitcoin : a study based on high-frequency data
Zargar, Faisal Nazir, (2019)
-
Volatility estimation for cryptocurrencies using Markov-switching GARCH models
Silva, Paulo Vitor Jordão da Gama, (2019)
- More ...
-
Volatility spillover effects in leading cryptocurrencies : a BEKK-MGARCH analysis
Katsiampa, Paraskevi, (2019)
-
Volatility Spillover Effects in Leading Cryptocurrencies : A BEKK-MGARCH Analysis
Katsiampa, Paraskevi, (2018)
-
High Frequency Volatility Co-Movements in Cryptocurrency Markets
Katsiampa, Paraskevi, (2019)
- More ...