SSRNCrypto & DeFi
Self-Exciting Jump Structure in Cryptocurrencies vs. S&P 500
The research introduces a model that captures the dynamics of daily cryptocurrency returns, showing evidence of self-triggered clustering and more identified jumps than previous models.
Featured in No. 13 on 24 Aug 2023 · 6 days after release
- Released
- 18 Aug 2023
- First featured
- No. 13 · 24 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4545131
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