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Impact of COVID 19 pandemic on cryptocurrency market using time series models with variance gamma distribution

This project will investigate properties of high frequency cryptocurrency returns data which often display high kurtosis. Popular heavy tail distributions like Student t and exponen more...

Supervisor(s): Chan, Jennifer (Associate Professor)

Evaluating Blockchain Systems

The goal of this project is to evaluate the properties of existing blockchain protocols and to propose new building blocks for dedicated applications. more...

Supervisor(s): Gramoli, Vincent (Dr)

Multivariate volatility models for high frequency data

Volatility forecast is important in risk management. However since volatility is unobserved, most volatility models like the GARCH models are based on daily return and model volatil more...

Supervisor(s): Chan, Jennifer (Associate Professor)