Forecasting Bitcoin volatility : a new insight from the threshold regression model
Yaojie Zhang, Mengxi He, Danyan Wen, Yudong Wang
| Year of publication: |
2022
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|---|---|
| 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
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| Subject: | Bitcoin | leverage effect | model switching | threshold regression | volatility forecasting | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2822 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013166172