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Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling

Citations

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Cited by:

  1. Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
  2. Kumar, Ashish & Iqbal, Najaf & Mitra, Subrata Kumar & Kristoufek, Ladislav & Bouri, Elie, 2022. "Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  3. 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).
  4. 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).
  5. Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2022. "Forecasting Bitcoin Spikes: A GARCH-SVM Approach," Forecasting, MDPI, vol. 4(4), pages 1-15, September.
  6. Massimiliano Giacalone & Demetrio Panarello, 2022. "A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments," Mathematics, MDPI, vol. 10(5), pages 1-21, February.
  7. 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.
  8. Giulio Mattera & Gianfranco Piscopo & Maria Longobardi & Massimiliano Giacalone & Luigi Nele, 2024. "Improving the Interpretability of Data-Driven Models for Additive Manufacturing Processes Using Clusterwise Regression," Mathematics, MDPI, vol. 12(16), pages 1-18, August.
  9. Andrew Spurr & Marcel Ausloos, 2021. "Challenging practical features of Bitcoin by the main altcoins," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(5), pages 1541-1559, October.
  10. Manavi, Seyed Alireza & Jafari, Gholamreza & Rouhani, Shahin & Ausloos, Marcel, 2020. "Demythifying the belief in cryptocurrencies decentralized aspects. A study of cryptocurrencies time cross-correlations with common currencies, commodities and financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
  11. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
  12. 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.
  13. José Antonio Núñez-Mora & Roberto Joaquín Santillán-Salgado & Mario Iván Contreras-Valdez, 2022. "COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets," Mathematics, MDPI, vol. 10(9), pages 1-36, April.
  14. James, Nick & Menzies, Max & Gottwald, Georg A., 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  15. Nick James & Max Menzies, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Papers 2307.15402, arXiv.org, revised Sep 2023.
  16. Xingyu Dai & Roy Cerqueti & Qunwei Wang & Ling Xiao, 2025. "Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series," Annals of Operations Research, Springer, vol. 348(1), pages 735-775, May.
  17. Massimiliano Giacalone, 2022. "Optimal forecasting accuracy using Lp-norm combination," METRON, Springer;Sapienza Università di Roma, vol. 80(2), pages 187-230, August.
  18. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
  19. Nick James & Max Menzies, 2023. "Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies," Papers 2304.08902, arXiv.org, revised Jun 2023.
  20. Bu Tian & Tianyu Yan & Hong Yin, 2025. "Forecasting the Volatility of CSI 300 Index with a Hybrid Model of LSTM and Multiple GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 1969-1999, September.
  21. Wu, Xinyu & Yin, Xuebao & Umar, Zaghum & Iqbal, Najaf, 2023. "Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  22. Klender Cortez & Martha del Pilar Rodríguez-García & Samuel Mongrut, 2020. "Exchange Market Liquidity Prediction with the K-Nearest Neighbor Approach: Crypto vs. Fiat Currencies," Mathematics, MDPI, vol. 9(1), pages 1-15, December.
  23. James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  24. Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.
  25. Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2023. "Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  26. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
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