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Evaluating Cryptocurrency Market Risk on the Blockchain: An Empirical Study Using the ARMA-GARCH-VaR Model.
Yongrong Huang
Huiqing Wang
Zhide Chen
Chen Feng
Kexin Zhu
Xu Yang
Wencheng Yang
Published in:
IEEE Open J. Comput. Soc. (2024)
Keyphrases
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var model
monte carlo simulation
stock index futures
stock market
garch model
stock index
impulse response
stock price
monte carlo
economic growth
financial data
stock exchange
decision making
exchange rate
financial markets
markov chain
short term
financial time series
granger causality
long term