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Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling - MaRDI portal

Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (Q2663482)

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Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
scientific article

    Statements

    title
    Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (English)
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    author
    Roy Cerqueti
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    Massimiliano Giacalone
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    Raffaele Mattera
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    publication date
    19 April 2021
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    zbMATH Keywords
    generalized error distribution
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    GARCH models
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    skewed distributions
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    volatility forecasting
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    nonlinear GARCH
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B84
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    zbMATH DE Number
    7334745
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    OpenAlex ID
    W3014514859
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    arXiv ID
    2004.11674
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