Forecasting Bitcoin volatility: The role of leverage effect and uncertainty

M Yu - Physica A: Statistical Mechanics and Its Applications, 2019 - Elsevier
In this study, we first investigate the impacts of leverage effect and economic policy
uncertainty (EPU) on one-step-ahead Bitcoin volatility using high-frequency data. We find …
被引用次数：58 相关文章

Forecasting Bitcoin volatility: The role of leverage effect and uncertainty

M Yu - Physica A Statistical Mechanics and its Applications, 2019 - ui.adsabs.harvard.edu
In this study, we first investigate the impacts of leverage effect and economic policy
uncertainty (EPU) on one-step-ahead Bitcoin volatility using high-frequency data. We find …

Forecasting Bitcoin volatility: The role of leverage effect and uncertainty

M Yu - Physica A: Statistical Mechanics and its Applications, 2019 - ideas.repec.org
In this study, we first investigate the impacts of leverage effect and economic policy
uncertainty (EPU) on one-step-ahead Bitcoin volatility using high-frequency data. We find …

Forecasting Bitcoin volatility: The role of leverage effect and uncertainty

M Yu - Physica A: Statistical Mechanics and its Applications, 2019 - econpapers.repec.org
In this study, we first investigate the impacts of leverage effect and economic policy
uncertainty (EPU) on one-step-ahead Bitcoin volatility using high-frequency data. We find …