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Bayesian Tail Risk Forecasting...
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony
;
Hien, Pham Thu
;
Walther, Thomas
-
2018
BEKK-
GARCH
model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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2
Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
Walther, Thomas
;
Klein, Tony
;
Bouri, Elie
-
2018
We apply the
GARCH
-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized …
Persistent link: https://www.econbiz.de/10014284448
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