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On the predictive power of ARJI volatility forecasts for Bitcoin
16 references·1 citing·28 second hop
On the predictive power of ARJI volatility forecasts for Bitcoin (2019)On the predictive power of ARJI volatilit…What Causes the Attention of Bitcoin? (2018)What Causes the Attention of …Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinOn the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)On the hedge and safe haven p…Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Hedging capabilities of bitcoin. Is it the virtual gold? (2015)Hedging capabilities of bitco…Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices (2015)Crypto-currency bubbles: an a…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Excess Volatility in Bitcoin: Extreme Value Volatility Estimation (2021)Excess Volatility in Bitcoin:…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Stock Prices and Social Dynamics (1984)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2015Hedging capabilities of bitcoin. Is it the virtual gold?982 cited
  • 2017RETRACTED: Datestamping the Bitcoin and Ethereum bubbles655 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2016Evaluation of Economic Forecasts529 cited
  • 2018What Causes the Attention of Bitcoin?389 cited
  • 2015Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

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368 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
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    • 2021Excess Volatility in Bitcoin: Extreme Value Volatility Estimation19 cited