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Applied Economics Letters Volume 27, 2020 - Issue 7
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Articles

A forecast comparison of volatility models using realized volatility: evidence from the Bitcoin market

Takahiro HattoriPolicy Research Institute, Ministry of Finance, JapanCorrespondence[email protected]
Pages 591-595 | Published online: 28 Aug 2019

Citations (8)

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Read on this site (3)

Qihao Chen, Zhuo Huang & Fang Liang. (2023) Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models: the role of the probability distribution. Applied Economics Letters 0:0, pages 1-8.
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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, Rangan Gupta & Christian Pierdzioch. (2021) Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss. The European Journal of Finance 27:16, pages 1626-1644.
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Articles from other publishers (5)

Michael Frömmel & Eyup Kadioglu. (2023) Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. Financial Innovation 9:1.
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José Almeida & Tiago Cruz Gonçalves. (2023) A Decade of Cryptocurrency Investment Literature: A Cluster-Based Systematic Analysis. International Journal of Financial Studies 11:2, pages 71.
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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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Walid M.A. Ahmed & Mustafa Al Mafrachi. (2021) Do higher-order realized moments matter for cryptocurrency returns?. International Review of Economics & Finance 72, pages 483-499.
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Alessandra Amendola & Luca Sensini. (2020) Comparing the Performances of GARCH-type Models in Capturing Cryptocurrencies Volatility. WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 17, pages 646-655.
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