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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

Exploring the relationship between digital trails of social signals and bitcoin returns

Yelkenci, Tezer; Yelkenci, Birce Dobrucalı; Vardar, Gülin - In: Studies in economics and finance 41 (2024) 1, pp. 125-147

Persistent link: https://www.econbiz.de/10014467192

The price of BitCoin : GARCH evidence from high frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH...

Persistent link: https://www.econbiz.de/10011948479

The price of Bitcoin : GARCH evidence from high-frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - In: The journal of investment strategies 9 (2020) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012598972

The asymmetric effect of volatility spillover in global virtual financial asset markets : the case of Bitcoin

Dong, Hao; Chen, Liming; Zhang, Xinyi; Failler, Pierre; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 6, pp. 1293-1311

Persistent link: https://www.econbiz.de/10012211636

Navigating global uncertainty : examining the effect of geopolitical risks on cryptocurrency prices and volatility in a Markov-switching vector autoregressive model

Buthelezi, Eugene Msizi - In: International economic journal 38 (2024) 4, pp. 564-590

Persistent link: https://www.econbiz.de/10015195347

Exploring the driving forces of the Bitcoin currency exchange rate dynamics : an EGARCH approach

Zhou, Siwen - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 557-606

Persistent link: https://www.econbiz.de/10012490298

The intraday dynamics of Bitcoin

Eross, Andrea; McGroarty, Frank; Urquhart, Andrew; … - In: Research in international business and finance 49 (2019), pp. 71-81

Persistent link: https://www.econbiz.de/10012135993

Forecasting volatility of Bitcoin

Bergsli, Lykke Øverland; Lind, Andrea Falk; Molnár, Peter - In: Research in international business and finance 59 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013402137

Explosive episodes and time-varying volatility : a new MARMA-GARCH model applied to cryptocurrencies

Hecq, Alain W. J.; Velasquez-Gaviria, Daniel - In: Econometrics : open access journal 13 (2025) 2, pp. 1-25

Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility … explains time-varying volatility. We propose two estimation approaches: (i) Whittle-based frequency-domain methods, which are … reveal that overlooking noncausality biases GARCH parameters, downplaying short-run volatility reactions to news (𝛼) while …

Persistent link: https://www.econbiz.de/10015437136