Volatility forecasting accuracy for Bitcoin
type: Item
instance of: scholarly article
title: Volatility forecasting accuracy for Bitcoin
zbMATH Open document ID: 1442.91119
author: Gerrit Köchling
author: Philipp Schmidtke
author: Peter N. Posch
published in: Economics Letters
publication date: 2020-07-07T00:00:00Z
full work available at URL: http://hdl.handle.net/2003/38165
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 7218441
zbMATH Keywords: Bitcoin
zbMATH Keywords: cryptocurrency
zbMATH Keywords: GARCH
zbMATH Keywords: volatility
zbMATH Keywords: model confidence set
zbMATH Keywords: robust loss function
describes a project that uses: Rugarch
MaRDI profile type: Publication
OpenAlex ID: W2983744991
cites work: Jump-robust volatility estimation using nearest neighbor truncation
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: The Model Confidence Set
cites work: Volatility estimation for Bitcoin: a comparison of GARCH models
cites work: Volatility forecast comparison using imperfect volatility proxies
cites work: Asymptotic Inference about Predictive Ability
cites work: A Reality Check for Data Snooping
Wikidata QID: Q126832347
DOI: 10.1016/J.ECONLET.2019.108836
description: scientific article; zbMATH DE number 7218441