Volatility dynamics of crypto-currencies’ returns : Evidence from asymmetric and long memory GARCH models
Mohamed Fakhfekh, Ahmed Jeribi
| Year of publication: |
2020
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|---|---|
| Authors: | Fakhfekh, Mohamed ; Jeribi, Ahmed |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 51.2020, p. 1-10
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| Subject: | Crypto-Currencies | Error distribution | GARCH models | Leverage effect | Long memory | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2019.101075 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210511