Regime changes in Bitcoin GARCH volatility dynamics
David Ardia, Keven Bluteau, Maxime Rüede
| Year of publication: |
2019
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|---|---|
| Authors: | Ardia, David ; Bluteau, Keven ; Rüede, Maxime |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 266-271
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| Subject: | Bitcoin | GARCH | MSGARCH | Value-at-Risk | Backtesting | Bayesian estimation | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Elektronisches Zahlungsmittel | Electronic payment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419095