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1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. LÄS MER
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