Artikel
GARCH modelling of cryptocurrencies
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 10 ; Year: 2017 ; Issue: 4 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
exchange rate
maximum likelihood
value at risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chu, Jeffrey
Chan, Stephen
Nadarajah, Saralees
Osterrieder, Joerg
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2017
- DOI
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doi:10.3390/jrfm10040017
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chu, Jeffrey
- Chan, Stephen
- Nadarajah, Saralees
- Osterrieder, Joerg
- MDPI
Entstanden
- 2017
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