Systematic risk in cryptocurrency market : evidence from DCC-MGARCH model
Nguyen Phuc Canh, Udomsak Wongchoti, Su Dinh Thanh, Nguyen Trung Thong
| Year of publication: |
2019
|
|---|---|
| Authors: | Nguyen Phuc Canh ; Wongchoti, Udomsak ; Su Dinh Thanh ; Trung Thong Nguyen |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 90-100
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| Subject: | Structural break | Cryptocurrencies | Spillovers | Volatility | Systematic risk | DCC-MGARCH | Volatilität | Virtuelle Währung | Virtual currency | Strukturbruch | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Risiko | Risk | CAPM | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.03.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012417957