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Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks
16 references·16 citing·35 second hopsampled
Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2019)Forecasting the volatility of Bitcoin: Th…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…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…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The distribution of realized stock return volatility (2001)The distribution of realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Hybrid ML models for volatility prediction in financial risk management (2025)Hybrid ML models for volatili…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants (2023)Machine learning approaches t…Which factors drive Bitcoin volatility: Macroeconomic, technical, or both? (2022)Which factors drive Bitcoin v…Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps (2022)Blockchain and crypto-exposed…What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? (2021)What effect did the introduct…Lottery-like preferences and the MAX effect in the cryptocurrency market (2021)Lottery-like preferences and …Inflation and cryptocurrencies revisited: A time-scale analysis (2021)Inflation and cryptocurrencie…How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin (2021)How do Islamic equity markets…Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models (2021)Exploring the predictability …Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach (2021)Dynamic efficiency and arbitr…Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak? (2021)Cryptocurrency volatility for…Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements (2020)Riding the Wave of Crypto-Exu…MAX Momentum in Cryptocurrency Markets (2020)MAX Momentum in Cryptocurrenc…Is idiosyncratic volatility priced in cryptocurrency markets? (2020)Is idiosyncratic volatility p…Forecasting Bitcoin Volatility: Evidence from the Options Market (2020)Forecasting Bitcoin Volatilit…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?1,441 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2010

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Volatility forecast comparison using imperfect volatility proxies
1,281 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
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    • 2021What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?49 cited
    • 2022Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps45 cited
    • 2025Hybrid ML models for volatility prediction in financial risk management45 cited
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