Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Year of publication: |
2020
|
---|---|
Authors: | Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Al-Jarrah, Idries Mohammad Wanas ; Xuan Vinh Vo ; Kang, Sang Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-14
|
Subject: | Cryptocurrencies | Dynamic conditional correlations | Hedge strategy | Hourly data | multivariate GARCH model | Portfolio risk management | Portfolio-Management | Portfolio selection | Volatilität | Volatility | ARCH-Modell | ARCH model | Hedging | Schätzung | Estimation | Virtuelle Währung | Virtual currency | Risikomanagement | Risk management | Arbeitszeit | Working time | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
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