Munim, Ziaul Haque; Shakil, Mohammad Hassan; Alon, Ilan - In: Journal of risk and financial management : JRFM 12 (2019) 2/103, pp. 1-15
network autoregression (NNAR) models. Employing the static forecast approach, we forecast next-day Bitcoin price both with and … without re-estimation of the forecast model for each step. For cross-validation of forecast results, we consider two different …-sample forecast periods. The Diebold Mariano test confirms the superiority of forecast results of ARIMA model over NNAR in the test …