Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
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DOI: 10.1016/j.frl.2019.09.008
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More about this item
Keywords
Cryptocurrencies; Asymmetric volatility; Smooth transition GARCH;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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