Dynamic volatility modelling of cryptocurrencies using time-varying transition probability Markov switching models / Tan Chia Yen

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Dynamic volatility modelling of cryptocurrencies using time-varying transition probability Markov switching models / Tan Chia Yen

Motivated by the large price fluctuations and excessive volatility observed in cryptocurrency market, this research aims to model and forecast the volatility dynamics of cryptocurrencies. First, we adopt Bai and Perron (2003) multiple change point model by incorporating exogenous variables to determ...

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Bibliographic Details
Main Author:	Tan , Chia Yen
Format:	Thesis
Published:	2021
Subjects:	HG Finance QA Mathematics
Online Access:	http://studentsrepo.um.edu.my/12915/ http://studentsrepo.um.edu.my/12915/2/Tan_Chia_Yen.pdf http://studentsrepo.um.edu.my/12915/1/Tan_Chia_Yen.pdf

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