Dynamic volatility modelling of cryptocurrencies using time-varying transition probability Markov switching models / Tan Chia Yen

Motivated by the large price fluctuations and excessive volatility observed in cryptocurrency market, this research aims to model and forecast the volatility dynamics of cryptocurrencies. First, we adopt Bai and Perron (2003) multiple change point model by incorporating exogenous variables to determ...

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主要作者: Tan , Chia Yen
格式: Thesis
出版: 2021
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在線閱讀:http://studentsrepo.um.edu.my/12915/2/Tan_Chia_Yen.pdf
http://studentsrepo.um.edu.my/12915/1/Tan_Chia_Yen.pdf
http://studentsrepo.um.edu.my/12915/
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