Conrad, Christian; Custovic, Anessa; Ghysels, Eric - In: Journal of risk and financial management : JRFM 11 (2018) 2
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500...
