Leverage effect in cryptocurrency markets
Year of publication: |
2022
|
---|---|
Authors: | Huang, Jing-Zhi ; Ni, Jun ; Xu, Li |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 73.2022, p. 1-26
|
Subject: | Cryptocurrency | Stochastic volatility | Leverage effect | Particle filters | Sequential learning | Simultaneous and correlated jumps | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Kapitalstruktur | Capital structure | Korrelation | Correlation |
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