Volatility co-movement between Bitcoin and Ether

Katsiampa, P. orcid.org/0000-0003-0477-6503 (2019) Volatility co-movement between Bitcoin and Ether. Finance Research Letters, 30. pp. 221-227. ISSN 1544-6123



Copyright, Publisher and Additional Information: © 2018 Elsevier. This is an author produced version of a paper subsequently published in Finance Research Letters. 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; Ether; Cryptocurrency; Diagonal BEKK; Multivariate GARCH; Conditional volatility
  • Accepted: 3 October 2018
  • Published (online): 5 October 2018
  • Published: September 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: 02 Oct 2019 10:47
Last Modified: 05 Oct 2019 00:39
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.frl.2018.10.005

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