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Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Volatility cascades in cryptocurrency trading

Gradojevic, Nikola; Tsiakas, Ilias - In: Journal of empirical finance 62 (2021), pp. 252-265

Persistent link: https://www.econbiz.de/10012693424

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

Time-varying spillovers of higher moments between Bitcoin and crude oil markets and the impact of the US–China trade war : a regime-switching perspective

Hou, Yang; Li, Yujia; Hu, Yang; Oxley, Les - In: The European journal of finance 30 (2024) 16, pp. 1876-1906

Persistent link: https://www.econbiz.de/10015273064

Can Bitcoin be a stable investment?

Çelik, Ismail - In: Financial studies 24 (2020) 2, pp. 19-36

. The Hurst exponents show that FMH is valid in the Bitcoin market. Additionally, the effect of financial bubble formation … financial bubbles and regime changes increase the fractal structure (long memory) in the Bitcoin market …This study aims to analyze the volatility structure of Bitcoin returns, which became a popular investment after 2009 …

Persistent link: https://www.econbiz.de/10012484965

Bubble detection in Bitcoin and Ethereum and its relationship with volatility regimes

Diniz, Renan; Prince, Diogo de; Maciel, Leandro S. - In: Journal of economic studies 50 (2023) 3, pp. 429-447

Persistent link: https://www.econbiz.de/10014252394

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Trucíos, Carlos; Taylor, James W. - 2021

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

Persistent link: https://www.econbiz.de/10013242299

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

Persistent link: https://www.econbiz.de/10013494160

The risks of trading on cryptocurrencies : a regime-switching approach based on volatility jumps and co-jumping behaviours

Li, Leon - In: Applied economics 56 (2024) 7, pp. 779-795

Persistent link: https://www.econbiz.de/10014440127

Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model

Tan, Chia-Yen; Koh, You-Beng; Ng, Kok-Haur; Ng, Kooi-Huat - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821468