Threshold Mean Reversion and Regime Changes of Cryptocurrencies using SETAR-MSGARCH Models
AUTHORS: Hayet Ben Haj Hamida, Francesco Scalera
Received: 15 Sep, 2019 | Revised: 24 Sep, 2019 | Published: 09 Oct, 2019
PAGES: 221-229
DOI: 10.6007/IJARAFMS/v9-i3/6365