Return and volatility spillovers among cryptocurrencies
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Publication:1627002
DOI10.1016/j.econlet.2018.10.004zbMath1406.62119OpenAlexW2894651458WikidataQ111689775 ScholiaQ111689775MaRDI QIDQ1627002
Publication date: 22 November 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.004
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
- Generalized impulse response analysis in linear multivariate models
- Volatility estimation for Bitcoin: a comparison of GARCH models
- Price clustering in bitcoin
- An application of extreme value theory to cryptocurrencies
- Long memory interdependency and inefficiency in bitcoin markets
- Adaptive market hypothesis and evolving predictability of bitcoin
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