Modeling the cryptocurrency return distribution via Laplace scale mixtures
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DOI: 10.1016/j.physa.2020.125354
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Cited by:
- Cao, Guangxi & Xie, Wenhao, 2022. "Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach," Finance Research Letters, Elsevier, vol. 49(C).
- Tran, Quang Van & Kukal, Jaromir, 2022. "A novel heavy tail distribution of logarithmic returns of cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
- Tortora, Cristina & Franczak, Brian C. & Bagnato, Luca & Punzo, Antonio, 2024. "A Laplace-based model with flexible tail behavior," Computational Statistics & Data Analysis, Elsevier, vol. 192(C).
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Keywords
Cryptocurrencies; Econophysics; Inverse cubic power-law; Laplace distribution; Scale mixture; Heavy-tailed distributions;All these keywords.
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