Forecasting volatility in bitcoin market

DOI10.1007/S10436-020-00368-YzbMath1461.91305OpenAlexW3033244951MaRDI QIDQ2022929

Mawuli Segnon, Stelios D. Bekiros

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00368-y

zbMATH Keywords

likelihood ratio testbitcoinmodel confidence setGARCH processesmultifractal processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Related Items (1)

Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios

Uses Software

• longmemo

Cites Work

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