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Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Citations

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Cited by:

  1. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
  2. Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
  3. Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2024. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," Finance Research Letters, Elsevier, vol. 61(C).
  4. Skander Slim & Ibrahim Tabche & Yosra Koubaa & Mohamed Osman & Andreas Karathanasopoulos, 2023. "Forecasting realized volatility of Bitcoin: The informative role of price duration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1909-1929, November.
  5. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
  6. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
  7. Albers, Stefan, 2023. "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, vol. 55(PA).
  8. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
  9. Li, Leon, 2022. "The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk," Energy Economics, Elsevier, vol. 105(C).
  10. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
  11. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).
  12. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
  13. Adam Harper & Yilun Lu & Sumit Tembhurne, 2025. "Firm Policies and Uncertainty About Risk," JRFM, MDPI, vol. 18(2), pages 1-16, February.
  14. Opschoor, Anne & Lucas, André, 2023. "Time-varying variance and skewness in realized volatility measures," International Journal of Forecasting, Elsevier, vol. 39(2), pages 827-840.
  15. Jacob, Daniel & Härdle, Wolfgang Karl & Lessmann, Stefan, 2019. "Group Average Treatment Effects for Observational Studies," IRTG 1792 Discussion Papers 2019-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  16. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
  17. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  18. Chong, Carsten H. & Todorov, Viktor, 2024. "Volatility of volatility and leverage effect from options," Journal of Econometrics, Elsevier, vol. 240(1).
  19. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
  20. Yuan, Jianglei & Liu, Dehong & Chen, Carl R. & Hu, Sen, 2024. "Option trading volume and the cross-section of option returns," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  21. Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org, revised Jan 2025.
  22. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
  23. Meyer, Steffen & Uhr, Charline, 2024. "Ambiguity and private investors’ behavior after forced fund liquidations," Journal of Financial Economics, Elsevier, vol. 156(C).
  24. Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
  25. Qiu, Yue, 2021. "Complete subset least squares support vector regression," Economics Letters, Elsevier, vol. 200(C).
  26. Zhiyuan Pan & Jun Zhang & Yudong Wang & Juan Huang, 2024. "Modeling and forecasting stock return volatility using the HARGARCH model with VIX information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1383-1403, August.
  27. Betton, Sandra & El Meslmani, Nabil & Switzer, Lorne N., 2022. "Volatility of implied volatility and mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 75(C).
  28. Jungah Yoon & Xinfeng Ruan & Jin E. Zhang, 2022. "VIX option‐implied volatility slope and VIX futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1002-1038, June.
  29. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
  30. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
  31. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  32. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
  33. Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
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