Catania, Leopoldo; Sandholdt, Mads - In: Journal of risk and financial management : JRFM 12 (2019) 1/36, pp. 1-20
Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We …) leverage effect; and (iii) no impact from lagged jumps. A forecast study shows that: (i) Bitcoin volatility has become more …This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns …
