Digital currencies: a multivariate GARCH approach

DOI10.1007/978-3-030-37110-4_5MaRDI QIDQ3294783zbMATH OpenOpenAlexFDO

Authors Stamatis Papangelou, Sofia Papadaki

Publication date 29 June 2020

Published in Mathematical Research for Blockchain Economy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-37110-4_5

zbMATH Keywords

Bitcoincryptocurrenciesmultivariate GARCH modelvolatility

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

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Cites work

• A test for constant correlations in a multivariate GARCH model
• Can we predict the winner in a market with network effects? Competition in cryptocurrency market
• scientific article; zbMATH DE number 1827068 (Why is no real title available?)
• Modelling stock returns with AR-GARCH processes
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cited in

(6)

• An application of extreme value theory to cryptocurrencies
• Dynamic linkages and economic role of leading cryptocurrencies in an emerging market
• Investigating the relationship between volatilities of cryptocurrencies and other financial assets
• Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
• Assessing the connectedness between proof of work and proof of stake/other digital coins
• Volatility in the cryptocurrency market

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