Modelling cryptocurrency high-low prices using fractional cointegrating VAR
Year of publication: |
2022
|
---|---|
Authors: | Yaya, OlaOluwa S. ; Xuan Vinh Vo ; Ogbonna, Ahamuefula E. ; Adewuyi, Adeolu O. |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 1, p. 489-505
|
Subject: | fractional integration | cryptocurrency | FCVAR | fractional cointegration | price range | Kointegration | Cointegration | Virtuelle Währung | Virtual currency | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
-
Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo, (2021)
-
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland, (2018)
-
Cryptocurrencies and stock market indices. Are they related?
Gil-Alaña, Luis A., (2020)
- More ...
-
Modelling cryptocurrency high–low prices using fractional cointegrating VAR
Yaya, OlaOluwa S., (2020)
-
Yaya, OlaOluwa S., (2024)
-
Yaya, OlaOluwa S., (2020)
- More ...