Volatility and return jumps in Bitcoin
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Cites work
- A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
- Long memory and regime switching
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Volatility estimation for Bitcoin: a comparison of GARCH models
Cited in
(19)- Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach
- Does market attention affect bitcoin returns and volatility?
- A Time-Varying Network for Cryptocurrencies
- The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
- Asymmetric volatility in cryptocurrencies
- Return and volatility spillovers among cryptocurrencies
- Transaction activity and bitcoin realized volatility
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
- Time-dependent relations between gaps and returns in a bitcoin order book
- Vulnerability-CoVaR: investigating the crypto-market
- Momentum trading in cryptocurrencies: short-term returns and diversification benefits
- Volatility forecasting accuracy for Bitcoin
- Market risk and Bitcoin returns
- Bitcoin: jumps, convenience yields, and option prices
- Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective
- Measuring the impact of digital exchange cyberattacks on bitcoin returns
- Bitcoin and Its Offspring: A Volatility Risk Approach
- Portfolio management with cryptocurrencies: the role of estimation risk
- How is price explosivity triggered in the cryptocurrency markets?
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