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Can the "good-bad" volatility and the leverage effect improve the prediction of cryptocurrency volatility? : evidence from SHARV-MGJR model
Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10015061457
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Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
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Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
Qiu, Yue; Wang, Yifan; Xie, Tian - In: Economics letters 208 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013207252
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Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting
Gao, Ziwen; Lehrer, Steven F.; Xie, Tian; Zhang, Xinyu - In: Essays in honor of Subal Kumbhakar, (pp. 99-131). 2024
Persistent link: https://www.econbiz.de/10014559151
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Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling volatility to … forecast the intraday price volatility. We evaluate the results under the MSE and MAE loss functions. Statistical analyses … the TGARCH(1,1), which are the best models for modeling the volatility process on out-of-sample data and have more …
Persistent link: https://www.econbiz.de/10013368338
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Forecasting volatility of Bitcoin
Bergsli, Lykke Øverland; Lind, Andrea Falk; Molnár, Peter - In: Research in international business and finance 59 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013402137
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Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets
Wei, Yu; Wang, Yizhi; Lucey, Brian M.; Vigne, Samuel A. - In: Journal of commodity markets 29 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014277412
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Conditional volatility persistence and realized volatility asymmetry : evidence from the Chinese stock markets
Su, Fei; Wang, Lei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 14, pp. 3252-3269
Persistent link: https://www.econbiz.de/10012312730
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Forecasting the aggregate stock market volatility in a data-rich world
Liu, Li; Ma, Feng; Zeng, Qing; Zhang, Yaojie - In: Applied economics 52 (2020) 32, pp. 3448-3463
Persistent link: https://www.econbiz.de/10012258945
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A comparative analysis on probability of volatility clusters on cryptocurrencies, and FOREX currencies
Chinthapalli, Usha Rekha - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-23
range of sectors, including nonmonetary activities, financial transactions, and even capital management. The high volatility … the probability of cryptocurrency volatility clusters. In this regard, the paper explores exponential hybrid methodologies …
Persistent link: https://www.econbiz.de/10012622787