Time-frequency co-movement of cryptocurrency return and volatility : evidence from wavelet coherence analysis
Xingzhi Qiao, Huiming Zhu, Liya Hau
| Year of publication: |
2020
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|---|---|
| Authors: | Qiao, Xingzhi ; Zhu, Huiming ; Hau, Liya |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 71.2020, p. 1-15
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| Subject: | Cryptocurrency market | Co-movement | Wavelet decomposition | Portfolio diversification | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | Korrelation | Correlation | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Internationaler Finanzmarkt | International financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2020.101541 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436392