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Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators
16 references·1 citing·33 second hop
Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators (2020)Improving the realized GARCH’s volatility…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…On 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…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…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…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Discontinuous movements and asymmetries in cryptocurrency markets (2022)Discontinuous movements and a…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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)The Inefficiency of Bitcoin (2016)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)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)Realized Variance and Market Microstructure Noise (2006)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)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

  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 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
  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2017Volatility estimation for Bitcoin: A comparison of GARCH models1,095 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited

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  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
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    • 2022Discontinuous movements and asymmetries in cryptocurrency markets32 cited