A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling-Reference-Cited by-同舟云学术

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A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling

Published:2024-10 Issue: Volume:652 Page:130046
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Queiroz R.G.S.,Kristoufek L.^ORCID,David S.A.

Funder

Czech Science Foundation

Publisher

Elsevier BV

Reference40 articles.

1. Blockchain revolution: How the technology behind bitcoin is changing money, business, and the world;Radziwill;Qual. Manag. J.,2018

2. Bitcoin: A peer-to-peer electronic cash system;Nakamoto;Decentralized Bus. Rev.,2008

3. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models;Engle;J. Bus. Econom. Statist.,2002

4. GO-GARCH: a multivariate generalized orthogonal GARCH model;Van der Weide;J. Appl. Econometrics,2002

5. Volatility in the cryptocurrency market;Liu;Open Econ. Rev.,2019

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