Forecasting Bitcoin volatility : a new insight from the threshold regression model
Year of publication: |
2022
|
---|---|
Authors: | Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 3, p. 633-652
|
Subject: | Bitcoin | leverage effect | model switching | threshold regression | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
-
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip, (2018)
-
Ampountolas, Apostolos, (2022)
-
To jump or not to jump : momentum of jumps in crude oil price volatility prediction
Zhang, Yaojie, (2022)
- More ...
-
Forecasting realized volatility of Chinese stock market : A simple but efficient truncated approach
Wen, Danyan, (2021)
-
Forecasting Bitcoin volatility : A new insight from the threshold regression model
Zhang, Yaojie, (2021)
-
Forecasting crude oil prices : a scaled PCA approach
He, Mengxi, (2021)
- More ...