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 …

This paper studies whether the volatility spillover effect among cryptocurrencies matters for
forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models …

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 …

Most previous studies focusing on the effect of the economic policy uncertainty (EPU) on the
Bitcoin price do not assess for market conditions and assume that this effect is symmetric. To …

Being more and more popular in the past 10 years, Bitcoin has drawn extensive attention
from the press, scholars, and practitioners. The aim of this paper is to investigate which …

We investigate how economic policy uncertainty (EPU) and geopolitical risks (GPR) impact
Bitcoin volatility with respect to factors related to type and nationality of uncertainty …

This study mainly focuses on the role of jumps in forecasting Bitcoin volatility using linear
and nonlinear mixed data sampling models. The results provide strong evidence that using …

We analyze the role of the US–China trade war in forecasting out-of-sample daily realized
volatility of Bitcoin returns. We study intraday data spanning from 1st July 2017 to 30th June …

Modeling Bitcoin realized volatility by the heterogeneous autoregressive model is subject to
substantial model specification uncertainty in practice. To circumvent the lag specification …

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting
of bitcoin volatility are crucial for bitcoin investors' decision-making analysis and risk …