Open AccessBitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge: modeling with a bivariate GARCH model
Author(s) -
Zheng Nan,
Taisei Kaizoji
Publication year - 2019
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2019.2.347
Subject(s) - futures contract , bivariate analysis , portfolio , econometrics , autoregressive conditional heteroskedasticity , currency , financial economics , economics , arbitrage , foreign exchange market , liberian dollar , monetary economics , mathematics , finance , statistics , volatility (finance)