Volatility changes in cryptocurrencies : evidence from sparse VHAR-MGARCH model
Year of publication: |
2023
|
---|---|
Authors: | Lee, Seungwon ; Baek, Changryong |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 30.2023, 11, p. 1496-1504
|
Subject: | cryptocurrencies | spillover index | vector heterogeneous autoregressive model | Volatility change | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Spillover-Effekt | Spillover effect | Zeitreihenanalyse | Time series analysis |
-
Volatility spillovers among the cryptocurrency time series
Mighri, Zouheir Ahmed, (2019)
-
Cointegration and dynamic spillovers between cryptocurrencies and other financial assets
Watcharaporn Kantaphayao, (2021)
-
Omri, Imen, (2023)
- More ...
-
Can Markov switching model generate long memory?
Baek, Changryong, (2014)
-
Factor-augmented HAR model improves realized volatility forecasting
Kim, Dongwoo, (2020)
-
Quasi-maximum likelihood estimation for multiple volatility shifts
Kim, Moosup, (2014)
- More ...