Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Panayiotis Theodossiou, Polina Ellina, Christos S. Savva
| Year of publication: |
2022
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|---|---|
| Authors: | Theodossiou, Panayiotis ; Ellina, Polina ; Savva, Christos S. |
| Subject: | Conditional skewness and kurtosis | Skewed generalized error distribution | Skewness price of risk | Upside and downside market probabilities | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Wahrscheinlichkeitsrechnung | Probability theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-022-01055-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013459306