Kim, Jong-Min; Cho, Chan Ho; Jun, Chulhee - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-10
We employed linear and nonlinear error correction models (ECMs) to predict the log returns of Bitcoin (BTC). The linear ECM is the best model for predicting BTC compared to the neural network and autoregressive models in terms of RMSE, MAE, and MAPE. Using a linear ECM, we are able to understand...