Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside risk. While the prospects of high returns are...

The time series movements of Bitcoin prices are commonly characterized as highly nonlinear and volatile in nature across economic periods, when compared to the characteristics of traditional asset classes, such as equities and commodities. From a risk management perspective, such behaviors pose...

The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest in FX modeling and prediction. Recently,...