1,721,643 research outputs found
Alternative distribution based GARCH models for Bitcoin volatility estimation
No full textKatsiampa (2017) shows that, among different GARCH models, the optimal conditional heteroskedasticity model regarding the goodness-of-fit to Bitcoin price data is the AR-Component GARCH (AR-CGARCH) model. However, in that paper the author does not take into account for statistical proprieties of Bitcoin’s return distribution, and even showing both skewness and non-normality of the data, we consider a standardized normal distribution for all studied GARCH models. This paper represents an improvement of the previous literature about GARCH model for Bitcoin. In particular, this paper examines different distributional assumptions about innovations distribution for some GARCH models, showing that it is possible to obtain better estimates through the AR(1)-APARCH(1,1) model assuming that innovations follow a t-student distribution
A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments
Full text linkIn this paper, by considering a model-based approach for conditional moment estimation, a nonparametric test was performed to study the long-memory property of higher moments. We considered the daily returns of the stocks included in the S&P500 index in the last ten years (for the period running from the 1st of January 2011 to the 1st of January 2021). We found that mean and skewness were characterized by short memory, while variance and shape had long memory. These results have deep implications in terms of asset allocation, option pricing and market efficiency evaluation
CREA – Conflict Resolution with Equitative Algorithms: a Cloud Based Decision Spport System
No full textDispute Resolutions for Digital Assets in a Decentralized Virtual World
Full text linkDigital assets and the Metaverse have transformed our interactions and business practices. This dynamic environment, comprising virtual worlds and online communities, facilitates the creation, sharing, and consumption of digital information. As the Metaverse grows, disputes over digital assets pose challenges for traditional dispute resolution. Thus, this study explores the need for effective dispute resolution, focusing on digital assets, decentralization, digital evidence, and proposing a structure for decentralized resolution
La comunicazione con l'utenza nelle strutture sanitarie: il ruolo della Carta dei Servizi
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