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Toplam kayıt 3, listelenen: 1-3
From discrete to continuous: Garch volatility modeling of the Bitcoin
(Ege Akademik Bakış, 2022)
The aim of the study is to determine the most appropriate discrete model for the volatility of Bitcoin returns using the discretetime GARCH model and its extensions and compare it with the Lévy-driven continuous-time GARCH ...
Chasing Volatility of USD/TRY Foreign Exchange Rate: The Comparison of CARR, EWMA, and GARCH Models
(2022)
This paper aims to make a comparison between range-based and return-based volatility models. For this purpose, we compare the Conditional Autoregressive Range (CARR) type and Generalized Autoregressive Conditional ...
TVP-VAR Based Carr-Volatility Connectedness: Evidence From The Russian-Ukraine Conflict
(2022)
This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach. ...