Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-022-01055-x.pdf
Reference43 articles.
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3. Baek C, Elbeck M (2015) Bitcoins as an investment or speculative vehicle? A first look. Appl Econ Lett 22:30–34
4. Barndorff-Nielsen O, Kinnebrouk S, Shephard N (2010). Measuring downside risk: Realised semivariance. Volatility and Time Series Econometrics: Essays in Honor of Engle RF (ed by Bollerslev T, Russell J, Watson M). Oxford University Press 117–136
5. Baur DG, Dimpfl T (2018) Asymmetric volatility in cryptocurrencies. Econ Lett 173:148–151
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