IDEAS home Printed from https://ideas.repec.org/r/eee/finlet/v30y2019icp187-193.html
   My bibliography  Save this item

Bitcoin returns and risk: A general GARCH and GAS analysis

Citations

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


Cited by:

  1. Jareño, Francisco & González, María de la O & Tolentino, Marta & Sierra, Karen, 2020. "Bitcoin and gold price returns: A quantile regression and NARDL analysis," Resources Policy, Elsevier, vol. 67(C).
  2. Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
  3. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  4. Ke, Rui & Yang, Luyao & Tan, Changchun, 2022. "Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach," Finance Research Letters, Elsevier, vol. 49(C).
  5. Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
  6. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
  7. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
  8. Apopo, Natalay & Phiri, Andrew, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," MPRA Paper 94712, University Library of Munich, Germany.
  9. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
  10. Su, Chi-Wei & Qin, Meng & Tao, Ran & Shao, Xue-Feng & Albu, Lucian Liviu & Umar, Muhammad, 2020. "Can Bitcoin hedge the risks of geopolitical events?," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
  11. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
  12. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
  13. Gao, Lingbo & Ye, Wuyi & Guo, Ranran, 2022. "Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model," Finance Research Letters, Elsevier, vol. 48(C).
  14. Carlos Trucíos & James W. Taylor, 2023. "A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 989-1007, July.
  15. 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.
  16. Kurosaki, Tetsuo & Kim, Young Shin, 2022. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, vol. 45(C).
  17. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
  18. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
  19. Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
  20. Kong, Xiaolin & Ma, Chaoqun & Ren, Yi-Shuai & Narayan, Seema & Nguyen, Thong Trung & Baltas, Konstantinos, 2023. "Changes in the market structure and risk management of Bitcoin and its forked coins," Research in International Business and Finance, Elsevier, vol. 65(C).
  21. Yao, Yinhong & Li, Jianping & Sun, Xiaolei, 2021. "Measuring the risk of Chinese Fintech industry: evidence from the stock index," Finance Research Letters, Elsevier, vol. 39(C).
  22. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
  23. Isabela Ruiz Roque da Silva & Eli Hadad Junior & Pedro Paulo Balbi, 2022. "Cryptocurrencies trading algorithms: A review," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1661-1668, December.
  24. Arief Hakim & Khreshna Syuhada, 2023. "Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach," Risks, MDPI, vol. 11(2), pages 1-45, February.
  25. Anastasiadis Panagiotis & Katsaros Efthymios & Koutsioukis Anastasios-Taxiarchis & Pandazis Athanasios, 2020. "GARCH Modelling of High-Capitalization Cryptocurrencies' Impacts During Bearish Markets," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 87-106.
  26. Khanh Hoang & Cuong C. Nguyen & Kongchheng Poch & Thang X. Nguyen, 2020. "Does Bitcoin Hedge Commodity Uncertainty?," JRFM, MDPI, vol. 13(6), pages 1-14, June.
  27. Zhang, Chuanhai & Ma, Huan & Arkorful, Gideon Bruce & Peng, Zhe, 2023. "The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
  28. Pınar Kaya Soylu & Mustafa Okur & Özgür Çatıkkaş & Z. Ayca Altintig, 2020. "Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple," JRFM, MDPI, vol. 13(6), pages 1-21, May.
  29. Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
  30. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org.
  31. Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
  32. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
  33. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  34. Kawakami, Tabito, 2023. "Quantile prediction for Bitcoin returns using financial assets’ realized measures," Finance Research Letters, Elsevier, vol. 55(PA).
  35. Rehman, Mobeen Ur & Owusu Junior, Peterson & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Time-varying risk analysis for commodity futures," Resources Policy, Elsevier, vol. 78(C).
  36. Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022. "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, vol. 61(C).
  37. Wang, Jying-Nan & Liu, Hung-Chun & Lee, Yen-Hsien & Hsu, Yuan-Teng, 2023. "FoMO in the Bitcoin market: Revisiting and factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 244-253.
  38. Ding, Shusheng & Cui, Tianxiang & Wu, Xiangling & Du, Min, 2022. "Supply chain management based on volatility clustering: The effect of CBDC volatility," Research in International Business and Finance, Elsevier, vol. 62(C).
  39. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
  40. Santosh KUMAR & Bharat Kumar MEHER & Ramona BIRAU & Abhishek ANAND & Mircea Laurentiu SIMION, 2023. "Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 39-45.
  41. Yingying Xu & Donald Lien, 2022. "Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 259-278, March.
  42. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
  43. Müller, Fernanda Maria & Santos, Samuel Solgon & Gössling, Thalles Weber & Righi, Marcelo Brutti, 2022. "Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk," Finance Research Letters, Elsevier, vol. 48(C).
  44. Ze Shen & Qing Wan & David J. Leatham, 2021. "Bitcoin Return Volatility Forecasting: A Comparative Study between GARCH and RNN," JRFM, MDPI, vol. 14(7), pages 1-18, July.
  45. Jens Klose, 2021. "Cryptocurrencies and Gold - Similarities and Differences," MAGKS Papers on Economics 202128, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  46. Ahmed M. Khedr & Ifra Arif & Pravija Raj P V & Magdi El‐Bannany & Saadat M. Alhashmi & Meenu Sreedharan, 2021. "Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(1), pages 3-34, January.
  47. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.