Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Year of publication: |
2020
|
---|---|
Authors: | Soylu, Pınar Kaya ; Okur, Mustafa ; Çatıkkaş, Özgür ; Altintig, Z. Ayca |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 6, p. 1-20
|
Publisher: |
Basel : MDPI |
Subject: | volatility modelling | cryptocurrency | value at risk | expected shortfall | long memory |
-
Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Soylu, Pınar Kaya, (2020)
-
Abuzayed, Bana, (2018)
-
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen, (2021)
- More ...
-
Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple
Soylu, Pınar Kaya, (2020)
-
Financial contagion and flight to quality between emerging markets and U.S. bond market
Soylu, Pınar Kaya, (2019)
-
Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut, (2024)
- More ...