Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Year of publication: |
2019
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Authors: | Caporale, Guglielmo Maria ; Zekokh, Timur |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 48.2019, p. 143-155
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Subject: | Cryptocurrencies | GARCH | Markov-switching | Volatility | Volatilität | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Markov-Kette | Markov chain | Schätzung | Estimation |
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