Volatility estimation for Bitcoin: A comparison of GARCH models (EL 2017)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Paraskevi Katsiampa Volatility estimation for Bitcoin: A comparison of GARCH models EL 2017 158 3-6 C22, C5, G1 Bitcoin, Cryptocurrency, GARCH, Volatility

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Generalized autoregressive conditional heteroskedasticity (GARCH), AR-CGARCH - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Amélie Charles, Olivier Darné Volatility estimation for Bitcoin: Replication and robustness International Economics 2019 157 23-32 C22, C50, G10 Bitcoin, GARCH, Volatility, Jumps 3 - reproduction (new methods) 4 - partially successful - 1 - yes -

References

DOI: 10.1016/j.econlet.2017.06.023 IDEAS: a/eee/ecolet/v158y2017icp3-6.html EconPapers: RePEc:eee:ecolet:v:158:y:2017:i:c:p:3-6


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