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Applied Economics Volume 51, 2019 - Issue 44
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Articles

On the predictive power of ARJI volatility forecasts for Bitcoin

Jying-Nan WangCollege of International Finance and Trade, Zhejiang Yuexiu University of Foreign Languages, Shaoxing, Zhejiang, China;Research Institute for Modern Economics and Management, Zhejiang Yuexiu University of Foreign Languages, Shaoxing, Zhejiang, ChinaORCID Iconhttps://orcid.org/0000-0002-2315-2520
ORCID Icon,
Hung-Chun LiuDepartment of Finance, Minghsin University of Science and Technology, Hsinchu, Taiwan
,
Shu-Mei ChiangDepartment of Finance, Lunghwa University of Science and Technology, Taoyuan, Taiwan
&
Yuan-Teng HsuResearch Center of Finance, Shanghai Business School, Shanghai, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-8805-3964
ORCID Icon
Pages 4849-4855 | Published online: 12 Apr 2019

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Chi-Wei He & Yung-Jang Wang. (2023) Bitcoin price jumps and investor sentiment indicators. Applied Economics Letters 30:18, pages 2626-2630.
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Carol Alexander & Michael Dakos. (2023) Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios. Quantitative Finance 23:3, pages 393-427.
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Konstantinos Gkillas, Paraskevi Katsiampa, Christoforos Konstantatos & Athanasios Tsagkanos. (2022) Discontinuous movements and asymmetries in cryptocurrency markets. The European Journal of Finance 0:0, pages 1-25.
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Jying-Nan Wang, Hung-Chun Liu, Shuang Zhang & Yuan-Teng Hsu. (2021) How does the informed trading impact Bitcoin returns and volatility?. Applied Economics 53:28, pages 3223-3233.
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Mohammad Hashemi Joo, Yuka Nishikawa & Krishnan Dandapani. (2020) Announcement effects in the cryptocurrency market. Applied Economics 52:44, pages 4794-4808.
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Articles from other publishers (12)

Yadong Liu, Nathee Naktnasukanjn, Anukul Tamprasirt & Tanarat Rattanadamrongaksorn. (2024) Do crude oil, gold and the US dollar contribute to Bitcoin investment decisions? An ANN-DCC-GARCH approach. Asian Journal of Economics and Banking 8:1, pages 2-18.
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Jiqian Wang, Feng Ma, Elie Bouri & Yangli Guo. (2022) Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. Journal of Forecasting 42:4, pages 970-988.
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Li Wei, Ming-Chih Lee, Wan-Hsiu Cheng, Chia-Hsien Tang & Jing-Wun You. (2023) Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic. Mathematics 11:13, pages 2917.
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Júlio Lobão. (2022) Herding Behavior in the Market for Green Cryptocurrencies: Evidence from CSSD and CSAD Approaches. Sustainability 14:19, pages 12542.
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Chuanhai Zhang, Haicui Chen & Zhe Peng. (2022) Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. Finance Research Letters 47, pages 102777.
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José Almeida & Tiago Cruz Gonçalves. (2022) A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View. Risks 10:5, pages 107.
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Yaojie Zhang, Mengxi He, Danyan Wen & Yudong Wang. (2021) Forecasting Bitcoin volatility: A new insight from the threshold regression model. Journal of Forecasting 41:3, pages 633-652.
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Parthajit Kayal & G. Balasubramanian. (2021) Excess Volatility in Bitcoin: Extreme Value Volatility Estimation. IIM Kozhikode Society & Management Review 10:2, pages 222-231.
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Kim Hung Pho, Sel Ly, Richard Lu, Thi Hong Van Hoang & Wing-Keung Wong. (2021) Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China. International Review of Financial Analysis 74, pages 101674.
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Jui-Cheng Hung, Hung-Chun Liu & J. Jimmy Yang. (2020) Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. The North American Journal of Economics and Finance 52, pages 101165.
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Abdullah Yalaman. 2020. Digital Business Strategies in Blockchain Ecosystems. Digital Business Strategies in Blockchain Ecosystems 617 629 .
Huber Nieto-Chaupis. (2019) The Metropolis-Hastings Algorithm To Simulate Fluxes of Bitcoins Volumes in Developing Countries: Are you the winner or loser?. The Metropolis-Hastings Algorithm To Simulate Fluxes of Bitcoins Volumes in Developing Countries: Are you the winner or loser?.

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