IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1912.05228.html
   My bibliography  Save this item

Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


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. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
  3. 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.
  4. Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
  5. 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.
  6. Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
  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. 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).
  9. 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.
  10. Qiu, Yue, 2021. "Complete subset least squares support vector regression," Economics Letters, Elsevier, vol. 200(C).
  11. 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.
  12. Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org.
  13. 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.
  14. Pérez, Rafaela & Ruiz, Jesús & Guinea, Laurentiu, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
  15. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  16. 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".
  17. 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.
  18. 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).
  19. 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).
  20. 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.
  21. Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
  22. 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).
  23. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
  24. 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).
  25. 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).
  26. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
  27. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.