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Forecasting Realized Volatility of Bitcoin: The Role of the Trade War

Citations

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Cited by:

  1. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 111-122, January.
  2. Teterin, Maksim & Peresetsky, Anatoly, 2025. "Can Ethereum predict Bitcoin’s volatility?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 74-90.
  3. Sapkota, Niranjan, 2022. "News-based sentiment and bitcoin volatility," International Review of Financial Analysis, Elsevier, vol. 82(C).
  4. Efstathios Polyzos & Costas Siriopoulos, 2024. "Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 225-262, July.
  5. Bouteska, Ahmed & Sharif, Taimur & Isskandarani, Layal & Abedin, Mohammad Zoynul, 2025. "Market efficiency and its determinants: Macro-level dynamics and micro-level characteristics of cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 98(C).
  6. Gunnarsson, Elias Søvik & Isern, Håkon Ramon & Kaloudis, Aristidis & Risstad, Morten & Vigdel, Benjamin & Westgaard, Sjur, 2024. "Prediction of realized volatility and implied volatility indices using AI and machine learning: A review," International Review of Financial Analysis, Elsevier, vol. 93(C).
  7. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
  8. Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua & Pierdzioch, Christian, 2025. "Stock market volatility and multi-scale positive and negative bubbles," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  9. Yousaf, Imran & Cui, Jinxin & Ali, Shoaib, 2024. "Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  10. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
  11. Vasu Kalariya & Pushpendra Parmar & Patel Jay & Sudeep Tanwar & Maria Simona Raboaca & Fayez Alqahtani & Amr Tolba & Bogdan-Constantin Neagu, 2022. "Stochastic Neural Networks-Based Algorithmic Trading for the Cryptocurrency Market," Mathematics, MDPI, vol. 10(9), pages 1-15, April.
  12. Kuo-Shing Chen & Yu-Chuan Huang, 2021. "Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging," Mathematics, MDPI, vol. 9(20), pages 1-24, October.
  13. Fahad Mostafa & Pritam Saha & Mohammad Rafiqul Islam & Nguyet Nguyen, 2021. "GJR-GARCH Volatility Modeling under NIG and ANN for Predicting Top Cryptocurrencies," JRFM, MDPI, vol. 14(9), pages 1-22, September.
  14. Gkillas, Konstantinos & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2022. "Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 398-406.
  15. Xiaolong Tang & Yuping Song & Xingrui Jiao & Yankun Sun, 2024. "On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 2011-2033, May.
  16. Periklis Gogas & Theophilos Papadimitriou, 2021. "Machine Learning in Economics and Finance," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 1-4, January.
  17. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
  18. Muhammad Ikhlas Rosele & Abdul Muneem & Azizi Bin Che Seman & Luqman Bin Haji Abdullah & Noor Naemah Binti Abdul Rahman & Mohd Edil Bin Abd Sukor & Abdul Karim Bin Ali, 2022. "The Concept of Wealth (mÄ l) in the SharÄ«Ê¿ah and Its Relation to Digital Assets," SAGE Open, , vol. 12(2), pages 21582440221, June.
  19. Jiqian Wang & Feng Ma & Elie Bouri & Yangli Guo, 2023. "Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 970-988, July.
  20. Walid M. A. Ahmed, 2024. "On the robust drivers of cryptocurrency liquidity: the case of Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-32, December.
  21. Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2024. "Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data," Working Papers 202450, University of Pretoria, Department of Economics.
  22. Teterin, M. & Peresetsky, A., 2024. "Google Trends and Bitcoin volatility forecast," Journal of the New Economic Association, New Economic Association, vol. 65(4), pages 118-135.
  23. Lyócsa, Štefan & Todorova, Neda, 2024. "Forecasting of clean energy market volatility: The role of oil and the technology sector," Energy Economics, Elsevier, vol. 132(C).
  24. Lyócsa, Štefan & Todorova, Neda, 2024. "What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty," Energy Economics, Elsevier, vol. 140(C).
  25. Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?," Working Papers 2020107, University of Pretoria, Department of Economics.
  26. Arthur Jin Lin, 2023. "Volatility Contagion from Bulk Shipping and Petrochemical Industries to Oil Futures Market during the Economic Uncertainty," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
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