Volatility and return jumps in Bitcoin
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Publication:1627021
DOI10.1016/J.ECONLET.2018.10.011zbMath1406.62113OpenAlexW2897385673MaRDI QIDQ1627021
Pedro Chaim, Márcio Poletti Laurini
Publication date: 22 November 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.011
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Uses Software
Cites Work
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility estimation for Bitcoin: a comparison of GARCH models
- A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
- Long memory and regime switching
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