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 …

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 …

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

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post … period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC … important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more …

cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH …, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 … have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for …

This paper explores the financial asset capabilities of bitcoin using GARCH models. The initial model showed several … similarities to gold and the dollar indicating hedging capabilities and advantages as a medium of exchange. The asymmetric GARCH … showed that bitcoin may be useful in risk management and ideal for risk averse investors in anticipation of negative shocks …