are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin …In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices … futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … are crucial for bitcoin investors’ decision-making analysis and risk management. However, most previous studies of bitcoin … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is …

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post … period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC … important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more …

to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … investment tool in recent times. Using the opening data of weekly Bitcoin prices for the period of 11.24.2013–03.22.2020, their … logarithmic returns were calculated. The stationarity properties of the Bitcoin return series was tested by applying the ADF unit …