Volatility in the cryptocurrency market

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DOI10.1007/S11079-019-09547-5zbMath1425.91445OpenAlexW2963175235MaRDI QIDQ2330349

Jinan Liu, Apostolos Serletis

Publication date: 22 October 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-019-09547-5

zbMATH Keywords

financial markets spillover effects cryptocurrency GARCH-in-mean model volatility transmission asymmetric BEKK model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

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