Asymmetric volatility in the cryptocurrency market : new evidence from models with structural breaks
David Y. Aharon, Hassan Anjum Butt, Ali Jaffri, Brian Nichols
| Year of publication: |
2023
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|---|---|
| Authors: | Aharon, David Y. ; Butt, Hassan Anjum ; Jaffri, Ali ; Nichols, Brian |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-13
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| Subject: | Cryptocurrencies | Asymmetric volatility | Structural breaks | Volatility persistence | Volatilität | Volatility | Strukturbruch | Structural break | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102651 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014460602