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Risk management of Bitcoin futures with GARCH models
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Risk management of Bitcoin futures with GARCH models (2021)Risk management of Bitcoin futures with G…Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)Are Bitcoin and Ethereum safe…Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply (2019)Is Bitcoin a Commodity? On pr…Bitcoin returns and risk: A general GARCH and GAS analysis (2018)Bitcoin returns and risk: A g…Bitcoin Futures—What use are they? (2018)Bitcoin Futures—What use are …Asymmetric Volatility in Cryptocurrencies (2018)Asymmetric Volatility in Cryp…Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Volatility estimation for Bit…Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Bitcoin, gold and the dollar …Modeling and forecasting the volatility of petroleum futures prices (2012)Modeling and forecasting the …Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …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 Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)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)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)The Inefficiency of Bitcoin (2016)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Portfolio diversification with virtual currency: Evidence from bitcoin (2018)A multiple indicators model for volatility using intra-daily data (2005)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)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)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)
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References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 2015Bitcoin, gold and the dollar – A GARCH volatility analysis1,552 cited
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  • 1993A Permanent and Transitory Component Model of Stock Return Volatility501 cited
  • 2018Asymmetric Volatility in Cryptocurrencies372 cited
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  • 2018Bitcoin Futures—What use are they?258 cited
  • 2019Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply158 cited
  • 2018Bitcoin returns and risk: A general GARCH and GAS analysis144 cited

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  • 2012Modeling and forecasting the volatility of petroleum futures prices121 cited
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