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  • Search: subject:"Stochastic factor volatility"
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Subject
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Bond 2 Co-volatility 2 Commodity 2 Cryptocurrency 2 Equity 2 Stochastic factor volatility 2 Anleihe 1 CAPM 1 Portfolio selection 1 Portfolio-Management 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Virtual currency 1 Virtuelle Währung 1 Volatility 1 Volatilität 1 Welt 1 World 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1 research-article 1
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English 2
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Velappan, Shalini 2
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Studies in Economics and Finance 1 Studies in economics and finance 1
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ECONIS (ZBW) 1 Other ZBW resources 1
Showing 1 - 2 of 2
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Co-volatility dynamics in global cryptocurrency and conventional asset classes : a multivariate stochastic factor volatility approach
Velappan, Shalini - In: Studies in economics and finance 41 (2024) 5, pp. 1023-1043
Persistent link: https://www.econbiz.de/10015199621
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Cover Image
Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach
Velappan, Shalini - In: Studies in Economics and Finance 41 (2024) 5, pp. 1023-1043
Purpose This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds. Design/methodology/approach It used a...
Persistent link: https://www.econbiz.de/10015356129
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