Volatility and liquidity nexus in cryptocurrency markets
Forino, Angelo (A.A. 2021/2022) Volatility and liquidity nexus in cryptocurrency markets. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 35. [Master's Degree Thesis]
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Abstract/Index
Model. How the low-frequency component incorporates liquidity information. Data: prices, realised volatility and liquidity measure. Empirical results.
References
Bibliografia: pp. 30-33.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Outstanding Thesis: | Department of Economics and Finance |
| Chair: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 04 Oct 2022 09:29 |
| Last Modified: | 16 May 2023 10:34 |
| URI: | https://tesi.luiss.it/id/eprint/33533 |
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