Volatility spillovers among cryptocurrencies
Year of publication: |
2021
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Authors: | Smales, Lee A. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 10, Art.-No. 493, p. 1-12
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Subject: | cryptocurrency | volatility spillovers | vector autoregression (VAR) | bitcoin | multivariate GARCH (MGARCH) | ARCH-Modell | ARCH model | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Virtuelle Währung | Virtual currency | VAR-Modell | VAR model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14100493 [DOI] hdl:10419/258597 [Handle] |
Classification: | G10 - General Financial Markets. General ; G15 - International Financial Markets ; G23 - Pension Funds; Other Private Financial Institutions ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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