Market risk and Bitcoin returns (Q827254): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Market risk and Bitcoin returns	scientific article

Statements

scholarly article

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Market risk and Bitcoin returns (English)

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Dimitrios Koutmos

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Annals of Operations Research

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publication date

7 January 2021

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zbMATH Keywords

asset pricing

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Bitcoin

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Markov switching model

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risk-return tradeoff

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10479-019-03255-6

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The VIX, the variance premium and stock market volatility

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Efficient Tests for an Autoregressive Unit Root

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Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Analysis of time series subject to changes in regime

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Fat tails and volatility clustering in experimental asset markets

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Testing for a unit root in time series regression

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10479-019-03255-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:827254

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