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On long memory effects in the volatility measure of Cryptocurrencies
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On long memory effects in the volatility measure of Cryptocurrencies (2018)On long memory effects in the volatility …Time-varying long-term memory in Bitcoin market (2017)Time-varying long-term memory…A new look at Cryptocurrencies (2017)A new look at CryptocurrenciesEstimating stochastic volatility models using daily returns and realized volatility simultaneously (2008)Estimating stochastic volatil…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Modelling financial time series (1987)Modelling financial time seri…The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis (2024)The use of high-frequency dat…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models (2023)Forecasting Bitcoin prices us…A Decade of Cryptocurrency Investment Literature: A Cluster-Based Systematic Analysis (2023)A Decade of Cryptocurrency In…Does investor sentiment predict bitcoin return and volatility? A quantile regression approach (2022)Does investor sentiment predi…The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets (2021)The effect of COVID-19 on lon…High frequency multiscale relationships among major cryptocurrencies: portfolio management implications (2021)High frequency multiscale rel…Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility (2021)Forecasting the Volatility of…Investor attention and the pricing of cryptocurrency market (2020)Investor attention and the pr…Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting? (2020)Cryptocurrencies value‐at‐ris…Return and volatility spillovers between Bitcoin and other asset classes in Turkey (2019)Return and volatility spillov…News and subjective beliefs: A Bayesian approach to Bitcoin investments (2019)News and subjective beliefs: …Intraday efficiency-frequency nexus in the cryptocurrency markets (2019)Intraday efficiency-frequency…CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS (2019)CRYPTOCURRENCIES IN FINANCE: …On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure (2018)On the speculative nature of …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution (2010)Gaussian Process Regression Stochastic Volatility Model for Financial Time Series (2016)Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM (2022)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 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An empirical investigation into the fundamental value of Bitcoin (2015)Regime changes in Bitcoin GARCH volatility dynamics (2018)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Comparing Predictive Accuracy (1994)Realized Volatility: A Review (2008)The Volatility of Realized Volatility (2008)Parametric and Nonparametric Volatility Measurement (2010)The Pricing of Options and Corporate Liabilities (1973)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)
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References

  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2017A new look at Cryptocurrencies344 cited
  • 2017Time-varying long-term memory in Bitcoin market296 cited
  • 1987Modelling financial time series282 cited
  • 2008Estimating stochastic volatility models using daily returns and realized volatility simultaneously137 cited

Cited by

  • 2023Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models92 cited
  • 2019Intraday efficiency-frequency nexus in the cryptocurrency markets75 cited
  • 2020Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?62 cited
  • 2018On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure

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53 cited
  • 2019Return and volatility spillovers between Bitcoin and other asset classes in Turkey53 cited
  • 2022Does investor sentiment predict bitcoin return and volatility? A quantile regression approach50 cited
  • 2021Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility49 cited
  • 2019News and subjective beliefs: A Bayesian approach to Bitcoin investments47 cited
  • 2021The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets46 cited
  • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
  • 2020Investor attention and the pricing of cryptocurrency market32 cited
  • 2023A Decade of Cryptocurrency Investment Literature: A Cluster-Based Systematic Analysis32 cited
  • 2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS31 cited
  • 2021High frequency multiscale relationships among major cryptocurrencies: portfolio management implications29 cited
  • 2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis26 cited