On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Year of publication: |
2023
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Authors: | Cremaschini, Alessandro ; Punzón, Antonio ; Martellucci, Eliano ; Maruotti, Antonello |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 32, p. 3675-3688
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Subject: | Cryptocurrency market | Daily returns series | Hidden Markov models | Volatility clustering | Volatilität | Volatility | Coronavirus | Virtuelle Währung | Virtual currency | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Welt | World | Schätzung | Estimation |
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