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Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …
Persistent link: https://www.econbiz.de/10011931917
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The euro and inflation uncertainty in the European Monetary Union
Caporale, Guglielmo Maria (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003395399
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The BDS test as a test for the adequacy of a GARCH(1,1) specification : a Monte Carlo study
Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004
Persistent link: https://www.econbiz.de/10002068650
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …
Persistent link: https://www.econbiz.de/10011882344
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Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - In: Research in international business and finance 48 (2019), pp. 143-155
Persistent link: https://www.econbiz.de/10012135859
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International portfolio flows and exchange rate volatility in emerging Asian markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - In: Journal of international money and finance 76 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011788040
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
Persistent link: https://www.econbiz.de/10011995757
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Are the Baltic countries ready to adopt the euro? : a generalised purchasing power parity approach
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739809
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Trade specialisation and economic convergence : evidence from two Eastern European countries
Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2008
Persistent link: https://www.econbiz.de/10003785262
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Trade specialisation and economic convergence : evidence from two eastern European countries
Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009
This paper analyses trade specialisation dynamics in two Eastern European countries (Romania and Bulgaria - EEC-2) vis-à-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards intra-industry trade leading to economic...
Persistent link: https://www.econbiz.de/10003824097