Is the cryptocurrency market a hedge against stock market risk? : a wavelet and GARCH approach
Year of publication: |
2023
|
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Authors: | Jana, Susovon ; Sahu, Tarak Nath |
Published in: |
Economic notes. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-0300, ZDB-ID 2006487-1. - Vol. 52.2023, 3, Art.-No. e12227, p. 1-25
|
Subject: | ADCC-GARCH | cryptocurrency | diversification | hedge | safe haven | Wavelet Coherence Analysis | Hedging | ARCH-Modell | ARCH model | Zustandsraummodell | State space model | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Volatilität | Volatility | Aktienmarkt | Stock market |
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