are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin …In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices … futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …

spawned an ever increasing variety of models such as GARCH, EGARCH, NARCH, ARCH-M MARCH and the Taylor–Schwert model. The …

three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique …

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … are crucial for bitcoin investors’ decision-making analysis and risk management. However, most previous studies of bitcoin … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is …