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Uncertainty and herding behavior : evidence from cryptocurrencies

Coskun, Esra Alp; Lau, Chi Keung; Kahyaoglu, Hakan - In: Research in international business and finance 54 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012581355

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

Reconstructing cryptocurrency processes via Markov chains

Araújo, Tanya; Barbosa, Paulo - In: Computational economics 64 (2024) 4, pp. 2509-2521

Persistent link: https://www.econbiz.de/10015144026

Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models

Bouri, Elie; Christou, Christina; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10012820409

Regime switches and commonalities of the cryptocurrencies asset class

Figà-Talamanca, Gianna; Focardi, Sergio M.; Patacca, Marco - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012822192

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 … using recent cryptocurrency data that includes periods of turbulence. Those procedures are also extended to estimate the …

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

Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models

Koki, Constandina; Leonardos, Stefanos; Piliouras, Georgios - In: Research in international business and finance 59 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013410834

Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models

Bouri, Elie; Christou, Christina; Gupta, Rangan - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013479661

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...

Persistent link: https://www.econbiz.de/10013474092

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