measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …

In this paper, we propose a new Volatility-Spillover-Asymmetric Conditional-Auto-Regressive-Range (VS-ACARR) approach … to model/forecast Bitcoin’s volatility (Price-range). Traditionally, CARR models are uni-variate but we introduce … volatility spillover from another series (Crude oil) in the forecasting model construction. The proposed VS-ACARR model takes …