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Intertemporal asset pricing with bitcoin
This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price data from 2013 until 2020 whereby three...
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| 發表在: | Rev Quant Finan Acc |
|---|---|
| Main Authors: | , |
| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
Springer US
2020
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| 主題: | |
| 在線閱讀: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7346581/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s11156-020-00904-x |
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