Volatility estimation for cryptocurrencies using Markov-switching GARCH models
Paulo Vitor Jordão Da Gama Silva, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes
| Year of publication: |
2019
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|---|---|
| Authors: | Silva, Paulo Vitor Jordão da Gama ; Klotzle, Marcelo Cabus ; Pinto, Antônio Carlos Figueiredo ; Gomes, Leonardo Lima |
| Published in: |
International Journal of Financial Markets and Derivatives : IJFMD. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7149, ZDB-ID 2545128-5. - Vol. 7.2019, 1, p. 1-14
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| Subject: | cryptocurrencies | GARCH | Markov-switching model | volatility | ARCH-Modell | ARCH model | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Schätzung | Estimation |
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