Predicting the Volatility of Cryptocurrency Time Series
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Cited by:
- Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
- Borri, Nicola, 2019. "Conditional tail-risk in cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 1-19.
- Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021. "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, vol. 104(C).
- Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
- Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2022. "Forecasting Bitcoin Spikes: A GARCH-SVM Approach," Forecasting, MDPI, vol. 4(4), pages 1-15, September.
- Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
- Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
- Branimir Cvitko Cicvarić, 2020. "Volatility of Cryptocurrencies," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(6), pages 13-23, December.
- Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Forecasting Cryptocurrencies Financial Time Series," Working Papers No 5/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Baur, Dirk G. & Dimpfl, Thomas, 2018. "Asymmetric volatility in cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 148-151.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2019. "A New Economic Framework: A DSGE Model with Cryptocurrency," Working Papers No 07/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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This paper has been announced in the following NEP Reports:- NEP-PAY-2018-03-05 (Payment Systems and Financial Technology)
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