The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets

DOI10.1007/S10479-021-04353-0OpenAlexW3215588167MaRDI QIDQ6148782

Khaled Guesmi, Walid Ben Omrane, Samir Saadi, Qi Qianru

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04353-0

zbMATH Keywords

jumpshigh frequency datamacroeconomic newsBitcoinEthereumco-jumps

Mathematics Subject Classification ID

Parametric inference (62Fxx) Mathematical economics (91Bxx) Applications of statistics (62Pxx)

Cites Work

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• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Effects of outliers on the identification and estimation of GARCH models

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