An empirical investigation of volatility dynamics in the cryptocurrency market

Katsiampa, P. orcid.org/0000-0003-0477-6503 (2019) An empirical investigation of volatility dynamics in the cryptocurrency market. Research in International Business and Finance. ISSN 0275-5319

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2019 Elsevier. This is an author produced version of a paper subsequently published in Research in International Business and Finance. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords: Bitcoin; Cryptocurrency; Asymmetric Diagonal BEKK; MGARCH; Volatility; Conditional correlations
Dates:
  • Accepted: 3 June 2019
  • Published (online): 5 June 2019
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 17 Jun 2019 15:30
Last Modified: 17 Jun 2019 15:30
Status: Published online
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.ribaf.2019.06.004

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Embargoed until: 5 December 2020

Filename: Revised manuscript 29th May 2019.pdf

Licence: CC-BY-NC-ND 4.0

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