Cryptocurrency BTC ETH XRP XLM VAR estimated via GCov

Published: 12 April 2024| Version 2 | DOI: 10.17632/7w4vgf4k26.2
Contributor:
Mauri Hall

Description

Python code for implementing GCov model on multivariate time series data for closing prices of BTC, ETH, XRP and XLM. This data is used in the paper "Modelling Common Bubbles in Cryptocurrency Prices".

Files

Steps to reproduce

Open the PDF called GCov_publication_2024_V2_April_8.pdf and follow the instructions therein.

Institutions

York University

Categories

Financial Time Series Analysis, Cryptocurrency

Licence