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Forecasting of BTC volatility: comparative study between parametric and nonparametric models
16 references·1 citing·27 second hop
Forecasting of BTC volatility: comparative study between parametric and nonparametric models (2019)Forecasting of BTC volatility: comparativ…RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)RETRACTED: Is Bitcoin a bette…Predicting the Price of Bitcoin Using Machine Learning (2018)Predicting the Price of Bitco…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Does economic policy uncertai…RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)RETRACTED: Datestamping the B…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…The Inefficiency of Bitcoin (2016)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…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…How well do investor sentiment and ensemble learning predict Bitcoin prices? (2022)How well do investor sentimen…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)The Behavior of Stock-Market Prices (1965)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)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach718 cited
  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
  • 2018Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation694 cited
  • 2018Predicting the Price of Bitcoin Using Machine Learning690 cited
  • 2017

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RETRACTED: Datestamping the Bitcoin and Ethereum bubbles
655 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
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    • 2022How well do investor sentiment and ensemble learning predict Bitcoin prices?35 cited