Exploring the dependencies among main cryptocurrency log-returns : a hidden Markov model
Year of publication: |
2022
|
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Authors: | Pennoni, Fulvia ; Bartolucci, Francesco ; Forte, Gianfranco ; Ametrano, Ferdinando |
Published in: |
Economic notes. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1468-0300, ZDB-ID 2006487-1. - Vol. 51.2022, 1, Art.-No. e12193, p. 1-16
|
Subject: | Bitcoin | Bitcoin cash | decoding | Ethereum | expectation-maximisation algorithm | Litecoin | Ripple | time-series | Virtuelle Währung | Virtual currency | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Elektronisches Zahlungsmittel | Electronic payment |
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