Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
Author:
Funder
German Science Foundation
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-020-10022-4.pdf
Reference66 articles.
1. Acharya, V. V., Lochstoer, L. A., & Ramadorai, T. (2013). Limits to arbitrage and hedging: Evidence from commodity markets. Journal of Financial Economics, 109, 441–465.
2. Agnolucci, P. (2009). Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models. Energy Economics, 31, 316–321.
3. Amaya, D., Christoffersen, P., Jacobs, K., & Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics, 118, 135–167.
4. Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39(4), 885–905.
5. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96, 42–55.
Cited by 39 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. On the robust drivers of cryptocurrency liquidity: the case of Bitcoin;Financial Innovation;2024-05-22
2. Prediction of realized volatility and implied volatility indices using AI and machine learning: A review;International Review of Financial Analysis;2024-05
3. Forecasting of clean energy market volatility: The role of oil and the technology sector;Energy Economics;2024-04
4. Forecasting Volatility Based on a New Combined HAR-Type Model with Long Memory and Switching Regime: Empirical Evidence from Equity Realized Volatility;Journal of Mathematical Finance;2024
5. What Drives the Uranium Sector Risk? The Role of Attention, Economic and Geopolitical Uncertainty;2024
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3