Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
Year of publication: |
2019
|
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Authors: | Hu, Junjie ; Kuo, Weiyu ; Härdle, Wolfgang Karl |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | Cryptocurrency | Bitcoin | Realized Variance | Thresholded Jump | Signed Jumps | Realized Utility |
Series: | IRTG 1792 Discussion Paper ; 2019-024 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230800 [Handle] RePEc:zbw:irtgdp:2019024 [RePEc] |
Classification: | C53 - Forecasting and Other Model Applications ; E47 - Forecasting and Simulation ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: |
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Kreuser, Jérôme, (2018)
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Fantazzini, Dean, (2020)
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Risk of Bitcoin Market : Volatility, Jumps, and Forecasts
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