Forecasting Realized Volatility of Bitcoin Returns: Tail Events and Asymmetric Loss
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- Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2021.
"Forecasting Realized Volatility of Bitcoin: The Role of the Trade War,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 29-53, January.
- Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Working Papers 202003, University of Pretoria, Department of Economics.
- Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, Open Access Journal, vol. 9(2), pages 1-18, April.
More about this item
KeywordsBitcoin; Realized volatility; Forecasting; Tail events;
All these keywords.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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