Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators
Jui-Cheng Hung, Hung-Chun Liu, J. Jimmy Yang
| Year of publication: |
2020
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|---|---|
| Authors: | Hung, Jui-Cheng ; Liu, Hung-Chun ; Yang, Jimmy J. |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 52.2020, p. 1-11
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| Subject: | Bitcoin | Realized GARCH model | Jump-robust realized measure | Realized bi-power variation | Realized tri-power variation | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | Virtuelle Währung | Virtual currency | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101165 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654833