Bitcoin volatility predictability : the role of jumps and regimes
Lihua Qian, Jiqian Wang, Feng Ma, Ziyang Li
| Year of publication: |
2022
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|---|---|
| Authors: | Qian, Lihua ; Wang, Jiqian ; Ma, Feng ; Li, Ziyang |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 2, p. 1-8
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| Subject: | Bitcoin volatility | Jump | Markov-regime switching | Mixed data sampling model | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.102687 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013553653