Can the "good-bad" volatility and the leverage effect improve the prediction of cryptocurrency volatility? : evidence from SHARV-MGJR model
Zhenlong Chen, Junjie Liu, Xiaozhen Hao
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Zhenlong ; Liu, Junjie ; Hao, Xiaozhen |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 67.2024, 1, Art.-No. 105757, p. 1-8
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| Subject: | ‘Good-bad’ volatility | Cryptocurrency market | Current return information | Leverage effect | SHARV-MGJR model | Volatility forecasting | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105757 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015061457