Modelling volatility dynamics of cryptocurrencies using GARCH models
Anthony Ngunyi, Simon Mundia, Cyprian Omari
| Year of publication: |
2019
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|---|---|
| Authors: | Ngunyi, Anthony ; Mundia, Simon ; Omari, Cyprian Ondieki |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 4, p. 591-615
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| Subject: | Bitcoin | Backtesting | Cryptocurrencies | GARCH | Volatility | Value-at-Risk | ARCH-Modell | ARCH model | Volatilität | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.94030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012433128