Does natural gas volatility affect Bitcoin volatility? Evidence from the HAR-RV model
Author:
Affiliation:
1. Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, Queensland, Australia
2. Faculty of Finance, City University of Macau, Taipa, Macau
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2023.2168608
Reference42 articles.
1. Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
3. Chapter 15 Volatility and Correlation Forecasting
4. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
5. Jump-robust volatility estimation using nearest neighbor truncation
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