Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model
Yongjing Shi, Aviral Kumar Tiwari, Giray Gözgör, Zhou Lu
Topics & Concepts
CryptocurrencyEconometricsVolatility (finance)EconomicsStochastic volatilityMultivariate statisticsCorrelationStatisticsMathematicsComputer scienceComputer securityGeometryBlockchain Technology Applications and SecurityMarket Dynamics and VolatilityComplex Systems and Time Series Analysis