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Bitcoin returns and risk: A general GARCH and GAS analysis · Study

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ArticleBitcoin returns and risk: A general GARCH and GAS analysis

Victor Troster2018

Article2018

Bitcoin returns and risk: A general GARCH and GAS analysis

Victor Troster · Aviral Kumar Tiwari · Muhammad Qaiser Shahbaz · Demian Nicolás Macedo

144 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 144 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2015Bitcoin, gold and the dollar – A GARCH volatility analysis

Cited by

2020Can Bitcoin hedge the risks of geopolitical events?2020Bitcoin and gold price returns: A quantile regression and NARDL analysis 2020Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach 2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis 2019Forecasting Bitcoin risk measures: A robust approach 2019Nonlinear dependence in cryptocurrency markets 2020Understanding cryptocurrency volatility: The role of oil market shocks 2019Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach

Details

Year2018

Typearticle

Published2018-09-25

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations144

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.frl.2018.09.014

openalex_workW2892579226

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