Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Year of publication: |
2022
|
---|---|
Authors: | Theodossiou, Panayiotis ; Ellina, Polina ; Savva, Christos S. |
Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 59.2022, 2, p. 695-716
|
Subject: | Conditional skewness and kurtosis | Skewed generalized error distribution | Skewness price of risk | Upside and downside market probabilities | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Wahrscheinlichkeitsrechnung | Probability theory |
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