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Bitcoin prices and the realized volatility of US sectoral stock returns

Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10013270159

Forecasting realized US stock market volatility : is there a role for economic policy uncertainty?

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - 2024

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Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

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Climate risks and forecastability of the weekly state-level economic conditions of the United States

Ҫepni, Oğuzhan; Gupta, Rangan; Liao, Wenting; Ma, Jun - 2022

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Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Ҫepni, Oğuzhan; Christou, Christina; Gupta, Rangan - 2022

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Realized stock market volatility of the United States : the role of employee sentiment

Gupta, Rangan; Hall, Savanah; Pierdzioch, Christian - 2023

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Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model

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Forecasting growth-at-risk of the United States : housing price versus housing sentiment or attention

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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917

The predictive power of Bitcoin prices for the realized volatility of US stock sector returns

Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

This paper is motivated by Bitcoin's rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets. It is also motivated by a lack of empirical studies on whether Bitcoin prices contain useful information for the volatility of US stock...

Persistent link: https://www.econbiz.de/10014289060