Thanakorn Nitithumbundit

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

26

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Learning Cross-dependency of Cryptocurrencies from Multivariate Time Series Models

Number of pages: 8 Posted: 18 Feb 2020
Thanakorn Nitithumbundit and Jennifer Chan
affiliation not provided to SSRN and The University of Sydney
Downloads 14 (584,475)

Abstract:

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Student's t distribution, vector ARMA model, persistence, ECM algorithm, cryptocurrencies

2.

ECM Algorithm for Estimating Vector ARMA Model with Variance Gamma Distribution and Possible Unbounded Density

Number of pages: 37 Posted: 17 Feb 2020
Thanakorn Nitithumbundit and Jennifer Chan
affiliation not provided to SSRN and The University of Sydney
Downloads 12 (597,821)

Abstract:

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Variance gamma distribution, vector ARMA model, ECM algorithm, persistence