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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| フォーマット: | 学位論文 |
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2021
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| オンライン･アクセス: | 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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