Bitcoin and Its Offspring: A Volatility Risk Approach

DOI10.1007/978-981-15-4498-9_13zbMath1457.91423OpenAlexW3046057594MaRDI QIDQ5148855

Walter Bazán-Palomino

Publication date: 5 February 2021

Published in: Advanced Studies of Financial Technologies and Cryptocurrency Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-4498-9_13

zbMATH Keywords

bitcoinforkvolatility risktime-varying correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Volatility estimation for Bitcoin: a comparison of GARCH models
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Unnamed Item

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