Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
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DOI: 10.1016/j.econlet.2021.110092
Abstract: Abstract This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly… read more here.
Keywords: among cryptocurrencies; spillover effect; volatility; effect among ... See more keywords