A survey on volatility fluctuations in the decentralized cryptocurrency financial assets
NA Kyriazis - Journal of Risk and Financial Management, 2021 - mdpi.com
This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …
[HTML][HTML] Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies
B Amirshahi, S Lahmiri - Machine Learning with Applications, 2023 - Elsevier
Abstract The combination of Deep Learning and GARCH-type models has been proved to
be superior to the single models in forecasting of volatility in various markets such as …
be superior to the single models in forecasting of volatility in various markets such as …
[HTML][HTML] Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin
exchanges and scheduled macroeconomic news announcements affect the volatility of …
exchanges and scheduled macroeconomic news announcements affect the volatility of …
Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19?–New evidence from quantile coherency analysis
Employing the new measure of the contagion effect of the COVID-19, ie the Infectious
Disease EMV Index by Baker et al.(2020) and the novel Quantile Cross-spectral (coherency) …
Disease EMV Index by Baker et al.(2020) and the novel Quantile Cross-spectral (coherency) …
Geopolitical risk, uncertainty and Bitcoin investment
We investigate the impact of geopolitical risk, global and US economic policy uncertainty on
the structure of Bitcoin correlation with various financial and commodities asset classes. We …
the structure of Bitcoin correlation with various financial and commodities asset classes. We …
Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?
Academic research relies heavily on exogenous drivers to improve the forecasting accuracy
of Bitcoin volatility. The present study provides additional insight into the role of both …
of Bitcoin volatility. The present study provides additional insight into the role of both …
Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility
T Fang, Z Su, L Yin - International Review of Financial Analysis, 2020 - Elsevier
This paper investigates the impacts of News-based Implied Volatility (NVIX) on the long-term
volatility of five cryptocurrencies using the GARCH-MIDAS model. We also evaluate the …
volatility of five cryptocurrencies using the GARCH-MIDAS model. We also evaluate the …
Complexity analysis and forecasting of variations in cryptocurrency trading volume with support vector regression tuned by Bayesian optimization under different …
When cryptocurrency markets generate billions of dollars, it becomes interesting to forecast
variation in volume of transactions for better trading and for better management of …
variation in volume of transactions for better trading and for better management of …
Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?
Z Ftiti, W Louhichi, H Ben Ameur - Annals of Operations Research, 2023 - Springer
This study aims to examine the issue of cryptocurrency volatility modelling and forecasting
based on high-frequency data. More specifically, this study assesses whether crisis periods …
based on high-frequency data. More specifically, this study assesses whether crisis periods …
Investor sentiment and Bitcoin relationship: A quantile-based analysis
This paper applies a quantile-based analysis to investigate the causal relationships
between Bitcoin and investor sentiment by considering the possible effects of the ongoing …
between Bitcoin and investor sentiment by considering the possible effects of the ongoing …