Search Results - subject:"Bitcoin volatility"

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional … important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that …

Persistent link: https://www.econbiz.de/10014496157

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

Persistent link: https://www.econbiz.de/10014495264

Bitcoin volatility and intrinsic time using double-subordinated lévy processes

Shirvani, Abootaleb; Mittnik, Stefan; Lindquist, … - In: Risks : open access journal 12 (2024) 5, pp. 1-21

. In this framework, we derive two bitcoin volatility measures. The first combines NDIG option pricing with the Chicago …

Persistent link: https://www.econbiz.de/10014636539

VS-LTGARCHX : a flexible variable selection in log-TGARCHX models

Orujov, Samir; Elvira, Victor; Poterie, Audrey; … - In: Journal of time series econometrics 17 (2025) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10015437073

How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?

Ben Nouir, Jihed; Ben Haj Hamida, Hayet - In: Research in international business and finance 64 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014259035

The impact of expected and unexpected events on Bitcoin price development : introduction of futures market and COVID-19

Cevik, Emrah Ismail; Gunay, Samet; Dibooglu, Sel; … - In: Finance research letters 54 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014472736

Which factors drive Bitcoin volatility : macroeconomic, technical, or both?

Wang, Jiqian; Ma, Feng; Bouri, Elie; Guo, Yangli - In: Journal of forecasting 42 (2023) 4, pp. 970-988

Persistent link: https://www.econbiz.de/10014292892

Categorical uncertainty in policy and bitcoin volatility

Wang, Qingyu; Huang, Qing; Wu, Xiangfang; Tan, Jin; … - In: Finance research letters 58 (2023) 3, pp. 1-5

Persistent link: https://www.econbiz.de/10015047523

Do collective emotions drive bitcoin volatility? : a triple regime-switching vector approach

Bourghelle, David; Jawadi, Fredj; Rozin, Philippe - In: Journal of economic behavior & organization : JEBO 196 (2022), pp. 294-306

Persistent link: https://www.econbiz.de/10013375283

Bitcoin volatility predictability : the role of jumps and regimes

Qian, Lihua; Wang, Jiqian; Ma, Feng; Li, Ziyang - In: Finance research letters 47 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013553653

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