Time-frequency co-movement of cryptocurrency return and volatility : evidence from wavelet coherence analysis
Year of publication: |
2020
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Authors: | Qiao, Xingzhi ; Zhu, Huiming ; Hau, Liya |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 71.2020, p. 1-15
|
Subject: | Cryptocurrency market | Co-movement | Wavelet decomposition | Portfolio diversification | Volatilität | Volatility | Zustandsraummodell | State space model | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Korrelation | Correlation |
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