Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Year of publication: |
2021
|
---|---|
Authors: | Huang, Jing-Zhi ; Huang, Zhijian ; Xu, Li |
Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 11.2021, 2, p. 1-37
|
Subject: | Bitcoin | cryptocurrency | sequential learning | stochastic volatility | simultaneous and correlated jumps | leverage effect | particle filters | sequential Monte Carlo | Bayesian analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Theorie | Theory | Virtuelle Währung | Virtual currency | Lernprozess | Learning process | Kapitaleinkommen | Capital income | Zustandsraummodell | State space model | Schätzung | Estimation | ARCH-Modell | ARCH model |
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