Correlations among cryptocurrencies : evidence from multivariate factor stochastic volatility model
Yongjing Shi, Aviral Kumar Tiwari, Giray Gozgor, Zhou Lu
| Year of publication: |
2020
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|---|---|
| Authors: | Shi, Yongjing ; Tiwari, Aviral Kumar ; Gozgor, Giray ; Lu, Zhou |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 53.2020, p. 1-11
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| Subject: | Bitcoin | Bayesian estimations | Ethereum | Factor stochastic volatility model | Multivariate time-varying approach | Price volatility of cryptocurrencies | Virtuelle Währung | Virtual currency | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Bayes-Statistik | Bayesian inference | Korrelation | Correlation |