Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

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Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

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  • 0 Reviews
  • 2 Students Enrolled
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Courselet Content

3 components

Requirements

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General Overview

Description

We design a Multivariate Heterogeneous AutoRegression for High-Frequency data (MHAR-HF) to construct a dynamic partial correlation network of cryptocurrency exchange. The dynamic takes cryptocurrency stylized facts into account and capture events in cryptocurrency market. 

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Last Updated 8th January 2024
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About the Instructor

PhD candidate in Southwestern University of Finance and Economics, visiting PhD in Humboldt University of Berlin