Cryptocurrency BTC ETH XRP XLM VAR estimated via GCov
Published: 12 April 2024| Version 2 | DOI: 10.17632/7w4vgf4k26.2
Contributor:
Mauri HallDescription
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