Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? : a comparative analysis with the S&P 500
Yan Chen, Lei Zhang, Elie Bouri
| Year of publication: |
2024
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| Authors: | Chen, Yan ; Zhang, Lei ; Bouri, Elie |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 2165501-7. - Vol. 69.2024, Art.-No. 102277, p. 1-18
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| Subject: | Bayesian estimation | Cryptocurrency | S&P 500 | Self-exciting jumps | Stochastic volatility | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2024.102277 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015052810