Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
This paper compares a number of stochastic volatility (SV) models for modeling and predicting the volatility of the four most capitalized cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin). The standard SV model, models with heavy-tails and moving average innovations, models with jumps, leve...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
|
| Online Access: | http://journalarticle.ukm.my/15201/1/ARTIKEL%2025.pdf http://journalarticle.ukm.my/15201/ http://www.ukm.my/jsm/malay_journals/jilid49bil3_2020/KandunganJilid49Bil3_2020.html |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|