Digital Currencies: A Multivariate GARCH Approach

DOI10.1007/978-3-030-37110-4_5zbMath1443.91348OpenAlexW3005662600MaRDI QIDQ3294783

Sofia Papadaki, Stamatis Papangelou

Publication date: 29 June 2020

Published in: Mathematical Research for Blockchain Economy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-37110-4_5

zbMATH Keywords

volatilitycryptocurrenciesBitcoinmultivariate GARCH model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

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• Can we predict the winner in a market with network effects? Competition in cryptocurrency market
• A test for constant correlations in a multivariate GARCH model
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model

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