OSUVA - Selaus asiasanan "GARCH-jump" mukaan
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Outliers and Time-Varying Jumps in the Cryptocurrency Markets
(MDPI, 08.03.2022)
articleWe examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that ... -
The impact of oil price on the emerging stock markets
(2019)
Pro gradu - tutkielmaThis study investigates the relationship between international crude oil indices and emerg-ing stock markets. Utilizing a widen adaptation of the GARCH model, namely GARCH-jump, the study confirms that West Texas Intermediate ...