Return-volatility relationships in cryptocurrency markets : evidence from asymmetric quantiles and non-linear ARDL approach
Muhammad Mahmudul Karim, Md Hakim Ali, Larisa Yarovaya, Md Hamid Uddin, Shawkat Hammoudeh
| Year of publication: |
2023
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|---|---|
| Authors: | Karim, Muhammad Mahmudul ; Ali, Md Hakim ; Yarovaya, Larisa ; Uddin, Md Hamid ; Hammoudeh, Shawkat |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-21
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| Subject: | Bitcoin | Asymmetric quantile regression | Asymmetric return-volatility | Cryptocurrencies | Ethereum | Implied volatility | NARDL | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102894 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014470582