Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
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DOI: 10.1007/s11156-022-01055-x
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More about this item
Keywords
Conditional skewness and kurtosis; Skewness price of risk; Upside and downside market probabilities; Skewed generalized error distribution;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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