Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? : evidence from GARCH-jump models
Chuanhai Zhang, Haicui Chen, Zhe Peng
| Year of publication: |
2022
|
|---|---|
| Authors: | Zhang, Chuanhai ; Chen, Haicui ; Peng, Zhe |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 2, p. 1-9
|
| Subject: | Bitcoin | Bitcoin futures | Futures trading activity | GARCH-jump models | Jump risk | Volatilität | Volatility | Derivat | Derivative | Virtuelle Währung | Virtual currency | Spotmarkt | Spot market | ARCH-Modell | ARCH model | Futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102777 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013553852