Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?

DOI10.1007/s10479-021-04116-xOpenAlexW3169399312MaRDI QIDQ6148812

Hachmi Ben Ameur, Wael Louhichi, Zied Ftiti

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04116-x

zbMATH Keywords

realized volatilityout-of-sample forecastingin-sample forecastingsemi-variancessigned jump

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx)

Cites Work

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• Microstructure Noise, Realized Variance, and Optimal Sampling
• A Reality Check for Data Snooping
• A Tale of Two Time Scales
• Modelling and predicting the Bitcoin volatility using GARCH models

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