Maxime Rüede

University of Neuchatel - Institute of Financial Analysis

Pierre-a-Mazel,7

Neuchatel, CH-2000

Switzerland

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Regime Changes in Bitcoin GARCH Volatility Dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 6 Posted: 30 May 2018 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and University of Neuchatel - Institute of Financial Analysis
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Citation 14

Abstract:

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Bitcoin, GARCH, MSGARCH, Value-at-Risk, Backtesting, Bayesian