Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge : modeling with a bivariate GARCH model
Zheng Nan and Taisei Kaizoji
| Year of publication: |
2019
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|---|---|
| Authors: | Nan, Zheng ; Kaizoji, Taisei |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 3.2019, 2, p. 347-365
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| Subject: | bitcoin | bitcoin exchange rate | triangular arbitrage | optimal hedge ratio | DCC-GARCH model | ARCH-Modell | ARCH model | Hedging | Arbitrage | Theorie | Theory | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Arbitrage Pricing | Arbitrage pricing | Virtuelle Währung | Virtual currency | US-Dollar | US dollar | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2019.2.347 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176483