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On long memory effects in the volatility measure of Cryptocurrencies · Study

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ArticleOn long memory effects in the volatility measure of Cryptocurrencies

Andrew Phillip2018

Article2018

On long memory effects in the volatility measure of Cryptocurrencies

Andrew Phillip · Jennifer Chan · Shelton Peiris

80 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2007Modelling Financial Time Series 2002Range‐Based Estimation of Stochastic Volatility Models 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 2017A new look at Cryptocurrencies 2017Time-varying long-term memory in Bitcoin market

Cited by

2023Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models 2019Intraday efficiency-frequency nexus in the cryptocurrency markets 2020Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?2018On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure 2019Return and volatility spillovers between Bitcoin and other asset classes in Turkey

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Year2018

Typearticle

Published2018-04-22

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations80

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2018.04.003

openalex_workW2800106601

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2022Does investor sentiment predict bitcoin return and volatility? A quantile regression approach

2021Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility

2019News and subjective beliefs: A Bayesian approach to Bitcoin investments