Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models
Mehdi Mili and Ahmed Bouteska
| Year of publication: |
2023
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|---|---|
| Authors: | Mili, Mehdi ; Bouteska, Ahmed |
| Published in: |
The journal of risk finance : JRF. - Bradford : Emerald, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 24.2023, 4, p. 464-482
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| Subject: | Cryptocurrency | Exchange rate | Forecasting | Multivariate GAS model | Volatility and correlation | Wechselkurs | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Multivariate Verteilung | Multivariate distribution | Devisenmarkt | Foreign exchange market | Korrelation | Correlation | ARCH-Modell | ARCH model | Prognose | Forecast | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Erdgasmarkt | Natural gas market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JRF-04-2022-0074 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014338629