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Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models
Koki, Constandina; Leonardos, Stefanos; Piliouras, Georgios - In: Research in international business and finance 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013410834
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Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models
Bouri, Elie; Christou, Christina; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012820409
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Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models
Bouri, Elie; Christou, Christina; Gupta, Rangan - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013479661
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On a regime switching illiquid high volatile prediction model for cryptocurrencies
El-Khatib, Youssef; Hatemi-J, Abdulnasser - In: Journal of economic studies 51 (2024) 2, pp. 485-498
Persistent link: https://www.econbiz.de/10014482773
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On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro; Punzón, Antonio; Martellucci, … - In: Applied economics 55 (2023) 32, pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
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Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Figà-Talamanca, Gianna; Focardi, Sergio M.; Patacca, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 863-882
Persistent link: https://www.econbiz.de/10012795004
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Volatility estimation for cryptocurrencies using Markov-switching GARCH models
Silva, Paulo Vitor Jordão da Gama; Klotzle, Marcelo Cabus - In: International Journal of Financial Markets and … 7 (2019) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012253524
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Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - In: Research in international business and finance 48 (2019), pp. 143-155
Persistent link: https://www.econbiz.de/10012135859
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Modeling local trends with regime shifting models with time-varying probabilities
Focardi, Sergio M.; Fabozzi, Frank J.; Mazza, Davide - In: International review of financial analysis 66 (2019), pp. 1-11
Persistent link: https://www.econbiz.de/10012208942
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053