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Topic: [RESEARCH] Econometric proof of stylized characteristics in Bitcoin data (Read 136 times)

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[Research] Econometric proof of volatility clustering, volatility jumps, asymmetric volatility transitions in Bitcoin price data. We also introduce a more intuitive way of mapping volatility transition probabilities.

View at Social Science Research Network (SSRN), 'Regime Heteroskedasticity in Bitcoin: A Comparison of Markov Switching Models'.

www.ssrn.com/abstract=3290603

Thanks,
Daniel Chappell
MSc FRM PRM IMC MCSI
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