Is Bitcoin a relevant predictor of standard & poor's 500?

The paper investigates whether Bitcoin is a good predictor of the Standard & Poor's 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard & Poor's 500 for the considered sample.

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Year of publication:	2019
Authors:	Muglia, Camilla ; Santabarbara, Luca ; Grassi, Stefano
Published in:	Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 12.2019, 2, p. 1-10
Publisher:	Basel : MDPI
Subject:	cryptocurrency \| Bitcoin \| forecasting \| point forecast \| density forecast \| dynamic model averaging \| dynamic model selection \| forgetting factors

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/jrfm12020093 [DOI] 1668146738 [GVK] hdl:10419/238964 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012611105