INFECTIOUS DISEASES-RELATED UNCERTAINTY AND THE PREDICTABILITY OF FOREIGN EXCHANGE AND BITCOIN FUTURES REALIZED VOLATILITY-Reference-Cited by-同舟云学术

INFECTIOUS DISEASES-RELATED UNCERTAINTY AND THE PREDICTABILITY OF FOREIGN EXCHANGE AND BITCOIN FUTURES REALIZED VOLATILITY

Published:2022-10-15 Issue: Volume: Page:
ISSN:2010-4952
Container-title:Annals of Financial Economics
language:en
Short-container-title:Ann. Finan. Econ.

Author:

SHIBA SISA¹,CUNADO JUNCAL²,GUPTA RANGAN¹,GOSWAMI SAMRAT³

Affiliation:

1. Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa

2. Department of Economics, University of Navarra, 20280, Pamplona, Spain

3. Department of Rural Studies, Tripura University, Suryamaninagar 799022, Tripura, India

Abstract

This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.

Publisher

World Scientific Pub Co Pte Ltd

Subject

Economics and Econometrics,Finance,Business and International Management

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010495222300010

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