Can joint modelling of external variables sampled at different frequencies enhance long-term Bitcoin volatility forecasts?
Serkan Aras, Mehmet Ozan Özdemir, Cihan Çılgın
| Year of publication: |
2025
|
|---|---|
| Authors: | Aras, Serkan ; Özdemir, Mehmet Ozan ; Çılgın, Cihan |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 73.2025, Art.-No. 106679, p. 1-8
|
| Subject: | Bitcoin | Garch-Midas | High frequency | Mixed frequency | Uncertainty | Volatility | Volatilität | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Theorie | Theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Risiko | Risk |
Online Resource