Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Walid Mensi, Khamis Hamed Al-Yahyaee, Idries Mohammad Wanas Al-Jarrah, Xuan Vinh Vo, Sang Hoon Kang
| Year of publication: |
2020
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|---|---|
| Authors: | Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Al-Jarrah, Idries Mohammad Wanas ; Vo Xuan Vinh ; 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
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| Subject: | Cryptocurrencies | Dynamic conditional correlations | Hedge strategy | Hourly data | multivariate GARCH model | Portfolio risk management | Volatilität | Volatility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Hedging | Korrelation | Correlation | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101285 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012665455