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Credit Valuation Adjustment in Financial Networks
Credit Valuation Adjustment captures the difference in the value of derivative contracts when the counterparty default probability is taken into account.
Time-varying volatility in Bitcoin market and information flow at minute-level frequency
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family.
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