This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data. Derived from a ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

本篇是“学海拾珠”系列第二百二十四篇，文献旨在探讨引入量化策略估算投资组合的方差-协方差矩阵的益处，期望能够有效捕捉资产收益的典型特征，并在时变波动率的环境下，对 150 只 ETF 进行优化与再平衡。主要比较了三种模型：（a）样本协方差或等权重 ...

Journal of Economic Integration, Vol. 30, No. 1 (March 2015), pp. 172-205 (34 pages) In this paper, we use the copulas functions in financial application, namely to examine the assumption of ...

In Duan, Gauthier and Simonato (1999), an analytical approximation to price European options in the generalized autoregressive conditional heteroskedastic (GARCH) framework was developed. The formula ...

This paper investigates the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian GARCH(1,1) model. The rescaled variable (the ratio of the disturbance to the conditional ...