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https://doi.org/10.21256/zhaw-4795Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chu, Jeffrey | - |
| dc.contributor.author | Chan, Stephen | - |
| dc.contributor.author | Nadarajah, Saralees | - |
| dc.contributor.author | Osterrieder, Jörg | - |
| dc.date.accessioned | 2019-03-09T10:54:32Z | - |
| dc.date.available | 2019-03-09T10:54:32Z | - |
| dc.date.issued | 2017 | - |
| dc.identifier.issn | 1911-8066 | de_CH |
| dc.identifier.issn | 1911-8074 | de_CH |
| dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/15967 | - |
| dc.description.abstract | With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates. | de_CH |
| dc.language.iso | en | de_CH |
| dc.publisher | MDPI | de_CH |
| dc.relation.ispartof | Journal of Risk and Financial Management | de_CH |
| dc.rights | http://creativecommons.org/licenses/by/4.0/ | de_CH |
| dc.subject | Cryptocurreny | de_CH |
| dc.subject | Garch | de_CH |
| dc.subject | Exchange rate | de_CH |
| dc.subject | Maximum likelihood | de_CH |
| dc.subject | Value at risk | de_CH |
| dc.subject.ddc | 332: Finanzwirtschaft | de_CH |
| dc.title | GARCH modelling of cryptocurrencies | de_CH |
| dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
| dcterms.type | Text | de_CH |
| zhaw.departement | School of Engineering | de_CH |
| zhaw.organisationalunit | Institut für Datenanalyse und Prozessdesign (IDP) | de_CH |
| dc.identifier.doi | 10.21256/zhaw-4795 | - |
| dc.identifier.doi | 10.3390/jrfm10040017 | de_CH |
| zhaw.funding.eu | No | de_CH |
| zhaw.issue | 17 | de_CH |
| zhaw.originated.zhaw | Yes | de_CH |
| zhaw.publication.status | publishedVersion | de_CH |
| zhaw.volume | 10 | de_CH |
| zhaw.publication.review | Peer review (Publikation) | de_CH |
| Appears in collections: | Publikationen School of Engineering | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2017_Chu_GARCH_modelling_of_cryptocurrencies.pdf | 277.09 kB | Adobe PDF |  View/Open |
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Chu, J., Chan, S., Nadarajah, S., & Osterrieder, J. (2017). GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management, 10(17). https://doi.org/10.21256/zhaw-4795
Chu, J. et al. (2017) ‘GARCH modelling of cryptocurrencies’, Journal of Risk and Financial Management, 10(17). Available at: https://doi.org/10.21256/zhaw-4795.
J. Chu, S. Chan, S. Nadarajah, and J. Osterrieder, “GARCH modelling of cryptocurrencies,” Journal of Risk and Financial Management, vol. 10, no. 17, 2017, doi: 10.21256/zhaw-4795.
CHU, Jeffrey, Stephen CHAN, Saralees NADARAJAH und Jörg OSTERRIEDER, 2017. GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management. 2017. Bd. 10, Nr. 17. DOI 10.21256/zhaw-4795
Chu, Jeffrey, Stephen Chan, Saralees Nadarajah, and Jörg Osterrieder. 2017. “GARCH Modelling of Cryptocurrencies.” Journal of Risk and Financial Management 10 (17). https://doi.org/10.21256/zhaw-4795.
Chu, Jeffrey, et al. “GARCH Modelling of Cryptocurrencies.” Journal of Risk and Financial Management, vol. 10, no. 17, 2017, https://doi.org/10.21256/zhaw-4795.
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