characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Cryptocurrencies are more and more used in official cash ows and exchange of goods. Bitcoin and the underlying … cryptocurrencies hu.berlin/CRIX indicates a wider acceptance of cryptos. One reason for its prosperity certainly being a security …

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

volatility and implementing the variable selection technique least absolute shrinkage and selection operator (LASSO), the results …