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Title: [RESEARCH] Econometric proof of stylized characteristics in Bitcoin data Post by: Chappe11 on December 04, 2018, 09:49:08 PM [Research] Econometric proof of volatility clustering, volatility jumps, asymmetric volatility transitions in Bitcoin price data. We also introduce a more intuitive way of mapping volatility transition probabilities.
View at Social Science Research Network (SSRN), 'Regime Heteroskedasticity in Bitcoin: A Comparison of Markov Switching Models'. www.ssrn.com/abstract=3290603 (http://www.ssrn.com/abstract=3290603) Thanks, Daniel Chappell MSc FRM PRM IMC MCSI |