The role of uncertainty index in forecasting volatility of Bitcoin : fresh evidence from GARCH-MIDAS approach
Year of publication: |
2023
|
---|---|
Authors: | Xia, Yufei ; Sang, Chong ; He, Lingyun ; Wang, Ziyao |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 52.2023, p. 1-8
|
Subject: | Bitcoin | Cryptocurrency | Cryptocurrency uncertainty | Economic policy uncertainty | GARCH-MIDAS | Volatility | Volatilität | Virtuelle Währung | Virtual currency | Risiko | Risk | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Elektronisches Geld | Electronic money |
-
Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets
Wei, Yu, (2023)
-
On the predictive power of ARJI volatility forecasts for Bitcoin
Wang, Jying-Nan, (2019)
-
Bitcoin's innovative aspects, return volatility and uncertainty shocks
Frascaroli, Bruno Ferreira, (2020)
- More ...
-
Predicting loan default in peer‐to‐peer lending using narrative data
Xia, Yufei, (2019)
-
Liu, Rongyan, (2023)
-
Xia, Yufei, (2022)
- More ...